Each state's unemployment insurance is run through the Department of Labor of that state. While the federal government requires that this department is provided, the state is in control of the insurance itself and they can be an excellent resource for you.
When you need to apply for unemployment insurance, take the time to consider who you need to work with. You will be appointed an agent in charge of your case, but realize that they likely have hundreds of people to monitor. Don't wait for them to come to you.