If he is threatening you, and you are afraid, you can file a protection from abuse order that will prohibit him from having any contact with you, and he can be arrested if he even comes near you. I went through something similar, and the protection order was very effective in keeping him away from me. The process for this probably varies a lot from state to state, so the rest of this is just a guess based on my experience. You can probably file for this on your own, but it can take a lot of time to get through the red tape. If you can locate a women's center, they may be able to help you get through all of the procedural stuff - they even helped me get the man to pay all the expenses, which was very important at the time since he had control of all of my money. I found one by just looking in the phone book.

One more thing - it helps when seeking this kind of order to have as much detail of the threat as possible - this is a court action, and they want proof that you really have a reason to fear him. So, try to write down the instances where he has threatened you in as much detail as possible, listing the date and times, and as closely as possible what he said, any threatening body actions, etc.