I've been threatened with bodily harm by someone online. What can I do about it?

On a message board, someone threatened bodily harm to me, stating that he knew what I looked like, but I didn't know what he looked like, so he was going to be vindictive & I should watch out. I've been trying to get a restraining order (order of protection) from this bozo, but all the legal avenues have me running around in circles. I live in Chicago & I fear for my life. What can I do?