Somethimes the simplest threats are the most effective. From Unforgiven:
“All right, I’m coming out. Any man I see out there, I’m gonna shoot him. Any sumbitch takes a shot at me, I’m not only gonna kill him, but I’m gonna kill his wife, all his friends, and burn his damn house down.”
You haven’t played Duke Nukem 3D. Video.
Dimo gets a pretty good one in here, though… Nicely understated, but with real authority.
“Hoy! So who else vants to get promoted?”
Then, speaking of understated, and IRL, there’s always “Speak softly, and carry a big stick.”
And this one, although this was more of a promise than a threat:
“That’s right, I’ve killed women and children, I’ve killed just about everything that walked or crawled at one time or another, and I’m here to kill you Little Bill, for what you did to Ned.”
Opposite of the thread title, and forgive me for not starting another thread, but there may not be enough material for it:
What movie was is this? The main character is making a tremendous, wordy, bold threat to an array of enemies. However he pauses every so often to whisper urgently to his friend next to him, “Start the car!”
I may have the details wrong, but I vaguely remember this scene as the biggest threat ever WITHOUT backup.
From the babysitter bandit on the first season of the Simpsons, of all things:
“If you don’t do what I say, I’m going to do something to you. And I don’t know what that thing is 'cause no one doesn’t do what I say.”
This is completely not what the OP is looking for, but I’ve always found it amusing:
I’m gonna cut off your nose and shove down the mouth of your dick!
“Are you gonna DO something, or just stand there and bleed?”
-Wyatt Earp, in Tombstone
"Listen kid, I’m not gonna bullshit you, all right? I don’t give a good fuck what you know or don’t know. But I’m gonna torture you anyway, regardless. Not to get information. It’s amusing, to me, to torture a cop. You can say anything you want, cause I’ve heard it all before. All you can do is pray for a quick death… which you ain’t gonna get. "
-Mr. Blonde, in Reservoir Dogs
Similar to the Mr. Blonde quote, this is from Sin City:
Cardinal Roark: Will that bring you satisfaction, my son? Killing a helpless, old, fart?
Marv: Killing? No. No satisfaction. Everything up until the killing … will be a gas.
When I read the thread title I thought of one of the Preacher comic one-shot specials where Jody makes this very threat. And then proceeds to carry it out later on in a literal fashion. This must be the issue -The Good Old Boys
I love this pair:
Inigo Montoya: Hello. My name is Inigo Montoya. You killed my father. Prepare to die.
Prince Humperdinck: First things first, to the death.
Westley: No. To the pain.
Prince Humperdinck: I don’t think I’m quite familiar with that phrase.
Westley: I’ll explain and I’ll use small words so that you’ll be sure to understand, you warthog faced buffoon.
Prince Humperdinck: That may be the first time in my life a man has dared insult me.
Westley: It won’t be the last. To the pain means the first thing you will lose will be your feet below the ankles. Then your hands at the wrists. Next your nose.
Prince Humperdinck: And then my tongue I suppose, I killed you too quickly the last time. A mistake I don’t mean to duplicate tonight.
Westley: I wasn’t finished. The next thing you will lose will be your left eye followed by your right.
Prince Humperdinck: And then my ears, I understand let’s get on with it.
Westley: WRONG. Your ears you keep and I’ll tell you why. So that every shriek of every child at seeing your hideousness will be yours to cherish. Every babe that weeps at your approach, every woman who cries out, “Dear God! What is that thing,” will echo in your perfect ears. That is what to the pain means. It means I leave you in anguish, wallowing in freakish misery forever.
Prince Humperdinck: I think you’re bluffing.
Westley: It’s possible, Pig, I might be bluffing. It’s conceivable, you miserable, vomitous mass, that I’m only lying here because I lack the strength to stand. But, then again… perhaps I have the strength after all.
[slowly rises and points sword directly at the prince]
Westley: DROP… YOUR… SWORD!
DING! We have a winner! 
Regards,
Shodan
“Now go away, or I shall taunt you a second time-a!”
Except this wasn’t a threat with backup, this was the opposite. Humperdink used the right word: bluffing. It was a successful bluff, but that doesn’t mean it was backed up.
Them’s fightin’ words. 
I gotta admit, I like those Cossack bastards’ style. 
Not quite. Jody literally rips a man’s head off. But, it’s TC who shits down the neck of the fresh corpse.
“I’ll take away your bucket.”
Sorry for the simulpost, but a totally badass one just came to mind. It’s from Mad Men, featuring the title character (whatsisname?) “negotiating” a business deal with his sometime mistress / sometime nemesis Bobbie Barrett.
Definitely NSFW (and sorry about the ad, couldn’t find the clip without it.
Liam Neeson, Taken.