Do you have any idea whatsoever who might have sent it - or can you narrow it down to a few possible people? Was the letter handwritten? Did it contain threats, or just profanity and nasty remarks? It probably is harrassment, but might be difficult to prove who wrote it. I concur with the answer about delivering it to the local police. It may have latent fingerprints that can be identified, or if you have any idea as to where it came from, handwriting analysis is also a possibility.
You might also forward a copy to your local postmaster.
I agree with the above attorneys. If you're concerned enough about it you should have the police check into it. Given that it was carried through the U.S. postal system I believe this would be a federal crime not a state misdemeanor or felony, but I could be wrong.