Some weirdo is harassing me via e-mail and knows my physical address at uni; What do I do?
How about:


  I have told you not to contact me on this matter. If I receive any more threatening emails I will go to the police.


The best case scenario is they stop after receiving some form of the above.
Depending on exactly how alarming the emails are, you could also go to the police now, as well as taking it up with someone else in the University -- check your university's grievance procedure and support services. While your supervisor was unhelpful, there should always be some way to escalate or someone else to ask. You can talk to your fellow students and researchers, people you trust, to find someone who is supportive and helpful. Try to get a restraining order against this person.