Can I sue a telemarketer for sexual harassment and threats?

About a month ago i applied for a loan online, you know like those cash advance things. Well, i never accepted any of the offers that were made to me. Almost immediately after i submitted the online applications though, i began recieving emails and calls from all kinds of telemarketers for car loans, education, regular loans, u name it. I declined them all and asked not to be contacted again and taken off their lists. This past week i began recieving calls from so called federal agency about filing court charges on behalf of a company called quick advance loans or something b/c they felt they weren't going to recieve their money back. I've NEVER received a loan from this company. I informed the caller of this and told him their charges were bogus and if they took it to court so be it I would handle it from there but he or noone from his company was to EVER contact me again. He said fine, they would file the papers the next day. That was 2 days ago. This morning i received a call just after 8 am while i was trying to sleep about the exact same thing. The only difference is i had an attitude this time when i repeated myself. The guy tells me to suck his d@#$ and that he was gonna call my job and get me fired, that he was coming to my house in 10 minutes with the cops, he called me a ***** and told me he wanted to F*ck my P*#$Y....I hit the roof!!! i cursed him out royally needless to say. I asked for his supervisor as well as the name of the company he worked for, he told me the company name was "************ company". He sounded foreign (Muslim/Arab) and it was very obvious that English was not his first language. I want to sue, him, his company, and the company that transferred my personal info to these people. They have my place of business, SSN, and home address. I am furious and feel violated. I don't know where to begin to handle this.