The German Ministry of the Interior (Home Ministry) apparently developed a kind of "official malware" to got after miscreants:
Investigating a death threat would in my opinion be one of the few good reasons to use this technology.
Just reply with a malware-loaded html/gif/jpeg/avi/mpeg mail that will infiltrate the miscreants hopefully badly protected systems (do Spammers run as Administrator ?), use the (hopefully available) camera to shoot photos, gather intel, and then send a warrant to Interpol.
Third-world countries are often tolerant regarding financial scams, but death threats are normally a no-no even in Nigeria and Yemen.
Picture of Federal Malware.