i wouldn't get violent but i'd talk to the guy and tell him he had his chance and that he should face reality and realize she wants nothing to do with him relationship wise.
Also, you should talk to Ally and tell her how you feel about this guy. Maybe she can tell him to back off and that she's with you and not him for a reason. I think if Ally really cared about your relationship, then she'd do something about the strain that he is putting on you. Make it clear that you wouldn't normally be threatened by an X-BF except that this guy is not willing to go away quietly.
Then, there's always a restraining order
Or, you can hire some people (contact me) to take care of him and Ally would never know it involved you
and what's up with him transferring to your school. Now THAT is creepy. I think you need to point out to Ally that this guy is going wacko.
Good luck and keep us posted

I always like a happy ending and I've no doubt you'll have one.