If someone has threatened your life then yes, you can file a complaint and possibly get a harassment/restraining order, you can even let him know if he threatens you again you will call the police. My suggestion is you just leave him alone and ask him to do the same. If the threat of you telling his wife is gone, then he may leave the whole thing alone. However, if you file a restraining order and a police report, it's more than likely his wife will find out somehow and this could just make him angrier...but this is really your call. If you believe he is a danger to you, then you may be best served by filing a report.
I don't know if you are still seeing him, but obviously this isn't safe for you. If you do decide to stop seeing him, I would suggest keeping a journal with dates and times and any problems or issues you have with him from this point on, in case you need it for court.
Let me know if I can be of further assistance
So basically what you're saying is that he's lied to you for the past two to four years. He never intended on leaving his wife, yet allowed you to divorce your husband.
You can say that you've tried to walk away, but he calls you and you go back. He disrespects you by saying that you are stalking him, denies you to his wife, and now has threatened to kill you.
Believe me when I tell you that he has not changed, he is just showing his true colors now. It's up to you at this point to decide if it's worth dealing with any more of his nonsense, or even risking your life to continue along this path. You've already put a lot of time and energy into this relationship to no good end, maybe it's time to start thinking about what you need in your life instead of what you want. As you've said, you allowed yourself to be used in the past, maybe its time for you to face up to why you are this way, what happened in your life that made you think it was ok to be treated like a doormat. Don't you deserve better? Of course you do. You deserve to have someone love you the way you need to be loved, and you deserve to be happy. I welcome your thoughts, let me know if you want to talk more.