I don't know that there's a list of famous people including sexual orientation and whether they've received death threats or not. However:

http://news.bbc.co.uk/2/hi/6239098.stm - 17% of UK gay students report receiving death threats

http://www2.fbi.gov/ucr/hc2008/victims.html - 17% of hate crimes in the US (2008) are related to sexual orientation (mainly against male homosexuals).

I think it would be fair to extrapolate that famous gay people also receive plenty of death threats.