Collection Agency ****s

What is the name of your state? OH
Colection agency called me, asking Why did you apply for a CC, max it, then never make payment ? I told them they must have the wrong guy, but they were persistent, said they had my CR in front of them, and mentioned an old business name I had. They scared me, so I pulled my CR($35) and nothing was there. They called again, so I told em, I am not the person, I wont do your work for you, and don't call me again. They started yelling and I hung up.
Can I sue them in Small Claims? File a complaint against them?
By lying to me, they made me feel I should check my credit, which cost me money.
I did get a hold of a manager there and he said "oops, we goofed, but we won't reimburse you, so tough luck"

"Can I sue them in Small Claims?"
*** Of course you can sue them. After all, most anyone can sue almost anyone else over almost anything. However, you have no cause of action against them for their contacting you.

"File a complaint against them?"
*** You can certainly file a complaint with the FTC at http://www.ftc.gov/.
However, since they really did nothing wrong in contacting you in error, there would probably be nothing coming from your complaint. If they were contacted by the FTC over this (unlikely) they would simply explain it was an error.

"By lying to me, they made me feel I should check my credit, which cost me money."
*** They really didn't LIE to you. They simply made a statement which you knew to be incorrect. You then reacted to their incorrect statement and chose to incur that expense. By the way, there was no requirement for you to pay $35 for the 'service'. You could have ordered a credit report directly from the CRA for about $8.00.