His technological skills aside, what's the guy really like? I'm not saying to disregard his threats, but sometimes a guy will bluff in the best way he knows, and apparently he believes he's creeped you out enough that he has you on the ropes.
As was said, you need to be alert and pay attention to your surroundings, but I'd really want to know more about the guy making the threat, i.e. does he have a history of violent encounters with others, is he capable of carrying them out, does he have any real life experience with street fighting, martial arts, or any form of training that would justify you're feeling threatened, etc.?
I had a guy mouth off to me in a PM on another board about something so silly it was ridiculous. I guess to prove he could offer up a "cyber threat" he googled my name and showed me what he came up with. What a grasp of technology! Wow, a couple of addresses and phone numbers that haven't been current for nearly four years.
Again, don't disregard the guy's behavior and threats, but I wouldn't be so quick to cede him too much control over your life, based on his lame "you can run, but you can't hide" threats either.
As an added thought, is the cell phone he's using his own, or is it one supplied by his company for his job? May be kind of a reach, but if that phone actually is a piece of equipment paid for by his employer, he's the one who ought to be scared-once his activity is reported to his employer, they'll be liable for his behavior. That's a discussion you really don't want to have with your boss.