As everyone has already said, report this. Harassment is a crime. Don't delete any of the messages. You should show the messages to the police.
Additionally, I would tell you to AVOID RESPONDING TO HIM IN ANY WAY.
I think you're Canadian, but here in America, you could have a restraining order taken out in a heartbeat based on this stuff (whether or not you'd want to bother since they seem to do no good whatsoever, is another matter) But, you don't want to give him any "evidence" that you're "harassing" him.
I work in the legal field and I see this sh*t all the time- harasser tries to beat harasee to the punch and files for a restraining order first. They're usually granted (b/c judges are afraid to make the paper if someone gets hurt and its discovered that they refused to grant a restraining order) and its SUPER EASY TO VIOLATE ONE, most people do it unintentionally. So, even if it's later rescinded, you don't want one against you in the first place.
And general info to all: I don't know about Canada, but in most jurisdictions here, there are usually two types of orders: a full stay-away order where the defendant is to have no contact whatsoever with the victim and a refrain-from order where the defendant must refrain from harassing the victim.
Restraining orders are easy to get. Prosecutors ask for them 24-7 and judges grant them in most cases. In my opinion, restraining orders shouldn't be granted as frequently as they are since the evidentiary burden is so low, they're ineffective against real nuts who are breaking the law anyway and they're frequently violated b/c people don't understand how they really work. Moreover, taking out a restraining order against a person usually encourages him to cross-file one against the victim, which is a mess. Think long and hard about whether or not you want a restraining order.
Additionally, ONLY A JUDGE CAN VACATE A RESTRAINING ORDER. So if you are protected by one, you cannot give permission to the person named in that order to contact you. He will be violating the order. Violating an order is usually charged as Criminal Contempt. It may be a low felony or high misdemeanor- in either case, its serious business. It's a strict liability crime- if you did it, you're guilty, regardless of your intent. There's no defense that the order was improperly granted in the first place.
Ugh, I'm sorry this is happening. What a nightmare. You should really contact the authorities to see if there's anything that can be done.