If you feel the need to spend more time on this moron than it takes to click the 'spam' button, keep in mind that you have control over two hyperlinks that he cares about: his keyword/title, and his IP address.
Like MacG says, send his IP to some banned site, which could technically be risky so that's up to you; but the link to his title/keyword is almost too tasty to go unchanged.
Yer options:
1. Remove the hyperlink but keep the post: This will make your site more dense for his keyword.
2. Reroute the hyperlink to your money page or related: This will not fail to piss him off and he'll know what you did there.
3. Change his title/keyword to something he would NOT want to rank for: This will make him think your blog is broken and the DB is mixing up entries.
Personally I go with #2... It tells them to fuck off all by itself and at least you've built up your KW density to compete with their site if nothing else.