Yeah, depending on the guitar you have there can be different ways to adjust the action. Also, a lot of people get action confused with neck relief, which is the arch or bow of the neck. Ideally a neck should have a little bit of relief--so the distance from the fretboard to the strings should be fractionally bigger from roughly the 3rd to 10th frets.

Usually when you adjust the action you go for the bridge, like pure said. But sometimes you might need to adjust it at the nut. Then you raise the nut or file the slots down. And if all else fails, you can put shims in the neck pocket.

Make any sense? ;)