Few of us wish to live in the kind of world where even an obvious joke about committing violence may be reported to the authorities. But when a threat is made, it should be noted and taken seriously. The analysis of a threat should be a two-step process: 1) you should determine if there is any credibility at all to the threat; and 2) if so, a formal threat assessment should be conducted. The U.S. Secret Service specializes in threat assessment, and has some good resources here.
You should not rely exclusively on this information for an assessment, though. Report any information you have to law enforcement, and ask them to follow-through on it. Consider hiring a threat assessment professional (many private security firms or private investigators will do this -- look for one with prior experience in the area, especially prior service in the Secret Service or U.S. Marshal's Office). It may seem like a needless expense, but the cost is minimal for the safety and peace of mind it can bring.