One time, a guy in Austria won something from us and our ad clearly states 'USA only'. He was pissed when I told him I wouldn't send it, he called me some names and told me "you'll see what you get". Sure enough, next day, icons started popping up on my pc. Even a pop up ad on PT in guess what, an Austrian type language! Hubby blocked his email, no more problems. I reported the threatening emails to ebay. They said there was nothing they could do since they were emails, not through ebay. They also advised me to call my local law enforcement if I didn't feel safe. Of course the guy was in Austria so we weren't too worried, as long as he couldn't email us. From his feedback he had a lot of people pissed.
I'd certainly block his email if you haven't already. Does he live anywhere close to you? I'd still report his threats to law enforcement.