You file a complaint with the operator of the site as well as with the police.

I've been through this, and there was an arrest and conviction made. Save everything you get from them, print it out, call the local PD and tell them you want to file a "harassment complaint against an individual" and when they ask who, you tell them that the person is using a fake name, but is using (name of forum) to direct personal attacks at you, and you want them to demand the IP address and other identifying information of the user. Finding a particular person who is using the internet can be relatively easy - there's a lot of ways to do it.

If his threat is credible, and you state "I am in fear of attack by this person" in your complaint, you will have a better chance of getting the complaint acted upon. MOST IMPORTANTLY, you MUST, MUST, MUST be willing to press charges and file a police complaint - which means you must be willing to go through with the process of a conviction.

If the person is in another state, it's a matter for the FBI.