This depends greatly on whether you mean an internal user, an external user or paying customer.
You can't point some people at issue trackers. I think the first two answers are good and a combination of elements is set by the user and how they are related to what you do.
- Thank them for bringing it to your attention
- build as full a picture as possible about the bug (if it's via email forms, you can grab their environment vars through the browser - which helps)
- Assure them that the bug/issues will be attended to by the team ("we're always looking to improve our user experience"...)
- NOTE: If they are a paying customer, then priority is likely to be high if money/transactions are involved.
- Add it to an internal tracker (if you have one)
- Assign it a priority based on the severity/importance
- Once its been through testing, QA and released, contact the user who found it and let them know its fixed and thank them again
This is generalised, but liaison with users of any sort is really important.
Hope this helps.