There's an old headline-parody that involves posing a disjunctive question between two functionally equivalent alternatives, and "X: Threat or Menace?" is the most familiar form of this joke. We've used it more than once here on Language Log, for example in Geoff Nunberg's post "'Still unpacked': Threat or Menace?", 5/17/2005.
A web search turns up many more examples, headed by another LL post ("Rhetorical questions: Threat or Menace?", 9/17/2006), with the role of X played variously by Vista SP1, Twitter, NALP, Transhumanism, George Lucas, Version Targeting, Blogs, Girl Scouts, and so on.
This meme has been around for a while, though I don't know who started it when. A bit of searching turned up Mike Duffy, "Political satire: Threat or menace?", The [New London] Day, 8/15/1982; and "ABC News: Threat or Menace?", The Village Voice, 6/26/1978. Before that, examples of the phrase "threat or menace" seem to be mostly instances of a commonplace legal redundancy, though I expect Ben Zimmer will track the use in headline parodies back to Ambrose Bierce, or perhaps Benjamin Franklin.
Returning to the present, Simon Cauchi sent me some evidence that the joke (or the legalism?) is interpreted by some as establishing a graded series of offenses. From "Mother jailed for her part in hoax", press.co.nz (which seems to be the online version of The Dominion Post), 4/15/2010:
Deane had also committed other dishonesty offences against vulnerable victims, including stealing money from a woman in a community home.
Deane's husband, Darren Deane, said yesterday his wife had been "slammed with a jail sentence" out of proportion to her offending and her jail sentence would be incredibly hard on the family. The youngest child was 11.
"My wife is not a threat to society. She was only a menace."
[Update — there's a 2006 Ask Metafilter discussion of the origins of the X: Threat or Menace? meme. It links to an alt.usage.english discussion from 2004, in which Ben Zimmer (!) explains that Spider-man: Threat or Menace? "was the title of Amazing Spider-Man Annual #15, published in 1981. When the origin of the headline was discussed on rec.arts.comic.misc, no one was able to find it in the Stan Lee comics of the '60s (Jameson's first headline was simply 'Spider-Man Menace')".
There's also discussion of use in the Harvard Lampoon in the 1960s, transferred to the National Lampoon in the 1970s.]
[Update #2 — there's a positive version, which I think is newer: "X: boon or blessing?"]