Document very carefully exactly what he does each time, the date and time it happens, after compiling about 10 incidents or so, report it in writing to your HR department. State that he is frightening you. Don't put up with bullies in your office, if HR does nothing or comes down on you for reporting it, you'll know that your working for the wrong Company and its time to start applying for new jobs (land a new job before you quit, of course, if you decide you have to leave).