If you found out your Leader or Immediate Supervisor was doing something against the law, like fraud, what would you do?

This has happened to me, quite a number of times actually.
I'll share one story.
So while in Iraq in 2008, I picked up the Sons of Iraq contract for the Cavalry Squadron I was supporting in the 2d SCR. I was tasked to go over to one of the sister squadrons to learn from the "guru" a Captain in their S9 shop. It didn't take long to find irregularities as he was showing me how he was doing the contracting, but the big one was on the exchange rate - a very clever way to hide the skimming and kickbacks he was doing.
At that time, the Iraqi Dinar to Dollar exchange rate fluctuated a LOT, and by fixing it at a rate used in an earlier contract, he was able to purloin thousands of dollars as the ID appreciated. He'd draw Dinar at the daily rate from Finance, which he'd subsequently clear, but pay on the contract the fixed amount. He'd then pocket the difference, mailing it home.
I reported what I saw, but the Squadron leadership wasn't really interested in what a Reserve E-8 supporting another unit had to say. Finance didn't seem bothered by it either, even going so far as auditing ME when my contracts reflected correct rates and I had money left over to turn in.

I found out later that he had "friends" in Finance and the APO to assist him.
He got busted when the dumbass bought a BMW M5 with cash and a bunch of electronics. No AC O-3 could afford that, so the dealership reported him and the FBI rolled him.

I got a couple of emails after he was caught from his unit asking how I had figured out there was a problem. I explained what I could, and they found more parties to the scam by digging into the contracts.
The unhappy ending for the Captain was getting thrown out of the Army and a seven year stint in a federal prison.

I had a boss who said, "don't worry about it" after being repeatedly asked about getting "leave in conjunction with TDY" put on his orders. My unit used a different pot of money, so I signed all TDY vouchers, including my boss'. He "borrowed" one of my crews' vehicles to visit family, hurting my mission timing...that was the piece I could not forgive. When I saw his voucher claiming per diem and rental car expenses for personal leave days (with no leave approved, BTW), I went two steps up and one step sideways on the chain, to someone I trusted. After sworn oaths to JAGs, an investigation, and paperwork, he was fired, given a LOR, and my next two OPRs were protected under whistleblower rules. The system worked as advertised. So if you see fraud, or abuse of authority, do not accept it. Go up the chain to someone you trust.

I got the retaliation slap when I challenged my boss for using government material, machines, etc. to fabricate parts for his foreign car. So when I brought it up to the XO, that pretty much put the nail in my AD career. Somehow my performance declined. In retrospect, I was about 20 years early in calling this stuff out as the culture looked the other way. Another time in my life where doing the right thing early is frowned on.