I'd call the authorities simply to stick it to them as much as possible, but frankly don't think much about that sort of threat.
First of all, everyone's a fuckin' tough guy on the internet, this site has shown that as much as any. Just talkin' the truth. When push comes to shove, 99.9% would take things for what they are, which is potentially quite dangerous to seek someone out that just might blow your fuckin' head off if you threaten them. Just not worth it.
Second, how the hell would they even find you? You're a screen name on a message board...the end. Not really a treasure trove of personal info.
Still, rather annoying to think of some jerk-off threatening your life from the comfort of their home, and thinking they can get away with it. It's more a matter of principle than safety, but still well worth trying to stick it to'em all the same.