For GEMB/JCP, try:
JCPenney Credit Services
Customer Service C/O GEMB
P.O. Box 981402
El Paso, TX 79998
This is just the general address listed on their website. I sent a GW to this address in June, however, and called to follow up in July to make sure it got to the right people. When I called, the CSR looked up my account and said there was a notation there that my letter was received and that they were reviewing the situation. They also said it would take approximately 60 days from them receiving the letter before I would receive a response. Letter was sent June 23, and no response yet--keeping my fingers crossed.