If it makes you feel any better, I'm told that very, very few people follow through on these sorts of threats. This person doesn't even know your name, let alone where you live, and has no real way of discovering either piece of information if you'd don't give it to him.
In the old days, sad cases like this made random threatening phone calls in the middle of the night. They're at least a little disturbing (as they are supposed to be), but in the vast majority of cases, completely harmless.
He has only my screen name, an email address (which my profile does not have any bit of accurate information about me), an IP (which has changed twice since the night I first spoke with him), and if he was paying attention, reason to believe I live in a certain city in which I actually do live.
I'm just a little paranoid anyways because in the year and a half I've lived on my own, I've had several incidents happen where I was left with good reason to believe that someone wanted to harm me. I'm not one to exaggerate anything, and I do think that my own paranoia plays a factor in my ability (or inability) to stay cool and not worry about things like this.
I just worry that one day I'll be too quick to write a worry off as just being paranoid when there may really be cause for concern.
I appreciate the input from everyone who chose to post in this thread. Keep it coming!