Please, please, please call the police, no matter what horrible things he says. If not for your own sake, then for his future victims. He has to pay for what he has done, and you need to show him that you care too much about yourself to let him get away with this. You are not the first person who has to deal with these kind of threats and the police will know what to do to keep you and your family safe. This guy is a danger to you, your loved ones and the rest of society and needs to be stopped...
NOW!
Also, I never saw you mention anything about children (or maybe I just missed it
). If you indeed don't have them yet, then go to the doctor and back up your birthcontrol! A strategy of slimeballs like this guy, is often to impregnate their GF/wife and use the kid to either make her stay, or to see the woman again through a shared custody arrangement (or guilting the mother, because Junior needs a father, right?). Don't trust condoms or the pill, as both are easily sabotaged. Get an IUD, the shot or maybe even permanent measures, but whatever you do: don't get pregnant by this dirtbag!