1992 - Madoff was investigated as potentially running a Ponzi scheme with Frank Avellino and Michael Bienes (who were the primary parties responsible for funneling investors to Madoff).  Incidentally those two ran a number of 'foundations' since then that also invested with Madoff.  Investigation terminated when the two close down their business. 

2006 - The SEC receives notice from Harry Markopolos that it is "highly likely" that "Madoff is running the world's largest Ponzi scheme".  The investigator assigned "finds nothing credible" (and then a year later marries Madoff's daughter). 

At lest 10 people testified during his trial that they had notified the SEC about concerns they had, and a few also contacted NYC law enforcement about it as well.