Who can I talk to about the threats my roommate is making?

You must involve the chain of command.

Prepare a written statement to present to the Commander and 1SG. Sit down and make a list of specific incidents that have happened and a list of potential witnesses who may have overheard the threats. You should also include the statement the SGT made about retaliation if you continued to report the issue and his threats to end your career. Ensure all comments or statements you submit are factual and honest.  Providing false information will do nothing but get you in trouble and cause you to lose credibility. Once you have a prepared statement that is factual and void of emotion, speak with your Commander and 1SG on open door policy. This policy should be posted outside the unit orderly room or on the unit bulletin board. The best way to handle this is to ask your platoon sergeant to arrange a meeting for you. If the platoon sergeant wants to attend the meeting I would encourage you to allow him to do so.