Hmm, not recently, but when I do I usually just dismiss it as typical male posturing, they're trying to prove that they are the Alpha Male of the internet and any threat to that status must be threatened into submission. Granted I'm sure not everyone who threatens death is male, but the reasoning still holds for women as well.
I can actually only recall one threat that I've ever received from hte internet that I actually took seriously enough to bother responding to, He had egged me on for a while, pursuing me into private messages and even tracking my username to other games to harrass me there. I finally got so fed up with his crap that I sent him and email that simply stated this:
" This is where I live, so you can stop posturing and come prove yourself, but before you do, I want you to take a good long look at these two photographs, and seriously consider the implications of them."
The two photos were of my Winchester 410 single barrel shotgun, and a sillhouette target that I had shot right through the center. I closed with the following.
"I am not a violent person and I do not revel in this threat, but you are not welcome on my property, I will do only what is necessary to protect myself and my family from harm. If you are smart, you will stop harrassing me and go away."
I never heard from him again, so I honestly can't say if this was the reaction he had been trying to goad me into, or if I'd actually scared him.
Captcha: Maple Syrup... I have a sudden craving for it now.. damn subliminal advertising!