Their wallets and reputations. Not that they seem to care much about those to begin with...
In a quick Google search, I read their show had been cancelled in other markets for low ratings, so they are vulnerable in that area. As for their reputations, they appeared to be the typical immature shock jock type who revel in angering people, so anything sent to them would only be playing in to their image.
We live in a very angry world these days, so I'm sure that any "death threats" (if they really got any at all) were more rhetorical than genuine. That's not the best way to get your point across, but then these guys seem to need a heavy handed approach to get their attention.