FYI - you're probably wasting your time if you contact regulatory agencies and/or legal services before you have exhausted the appeals process through the ins. co.
Best advice (this from someone who has worked in the industry for near 15 years) -
Become familiar with your plan's appeal procedures and jump through the hoops. If you have a summary plan description, read the section on claims and appeals. If not, contact them in writing and request that information.
Once you have exhausted all your appeal rights, and things still don't go in your favor, then you can contact an attorney and/or a local gov't agency.