First Rule: Don't ever make them mad! Most of the time they are pretty harmless....until you get them mad. Rent "Play Misty for Me". In the movie, the stalker was a bit of a pest, but otherwise harmless...UNTIL he got her mad.
People who 'stalk' can be *compulsive*. Believe me, you would rather have them compulsive about how much they *like* you and your show. NOT compulsive about how *mean* you were to them... ;-)
Second Rule: If they are starting to get creepy, saying nasty things, sending picture of animals without their heads, calling your home, bothering your family. You NEED to know who they are! "Kathy" won't get you far if thats all you know about her.
Have her call you on a phone that has caller ID. Ask for her address and tell her you are going to send a CD or something.
If something bad happens....it would help to have some information on locating the stalker.
Otherwise, be nice when you can. Ignore when you can't or need to.