Talking with a co-worker who feels it appropriate to use mind-altering substances at work will, most likely, result in being ignored (at best), and, when the conversation has no impact and you take it up the chain, they will know exactly who took issue with their behavior.
Unless I wasn't confident that my manager would handle the situation, I would discuss it with them first, and if it continues, talk with HR. Then I would choose one of two paths. If the behavior did not create a safety issue and simply impacted the individual's personal performance, I would mind my own business and, if they were leaving the premises driving a vehicle under the influence, potentially report it to law enforcement when I witness it off company property (many companies require that you go through them before reporting something to law-enforcement, legal or not). Aside from that, if they do a poor job that doesn't impact me, it is not much of my concern.
If you do feel it creates a safety issue (the co-worker is driving equipment or operating dangerous tools or machinery), then I would report it immediately, and if the company fails to act on the information, would go as far as reporting it to OSHA (or your country's counterpart). Most occupational safety offices have laws in place that protect workers who report unsafe working condition, and I think it would be at least arguable that knowingly allowing impaired employees to operate dangerous equipment creates unsafe working conditions.