An incomplete list of things that employers commonly threaten that are 100% illegal in the United States
"We'll fire you if you tell others how much you're making" The National Labor Relations Act of 1935 specifically protects employees who discuss their own wages with each other (you can't reveal someone else's wages if you were given that information in the course of work, but you can always discuss your own or any that were revealed to you outside of work duties)
"If we can't fire you for [discussing wages/seeking reasonable accommodation/filing a discrimination complaint/etc], we'll just fire you for something else the next day." This is called pretextual termination, and it offers your employer almost no protection; if you are terminated shortly after taking a protected action such as wage discussion, complaints to regulatory agencies, or seeking a reasonable accommodation, you can force the burden onto your employer to prove that the termination wasn't retaliatory.
"Disparaging the company on social media is grounds for termination" Your right to discuss workplace conditions, compensation, and collective action carries over to online spaces, even public ones. If your employer says you aren't allowed to disparage the company online or discuss it at all, their social media policy is illegal. However, they can forbid releasing information that they're obligated to keep confidential such as personnel records, business plans, and customer information, so exercise care.
"If you unionize, we'll just shut this branch down and lay everyone off" Threatening to take action against a group that unionizes is illegal, full stop. If a company were to actually shut down a branch for unionizing, they would be fined very heavily by the NLRB and be opening themselves up to a class-action lawsuit by the former employees.
"We can have any rule we want, it's only illegal if we actually enforce it" Any workplace policy or rule that has a "chilling effect" on employees' willingness to exercise their rights is illegal, even if the employer never follows through on any of their threats.
"If you [protected action], we'll make sure you never work in this industry/city/etc again." Blacklisting of any kind is illegal in half the states in the US, and deliberately sabotaging someone's job search in retaliation for a protected action is illegal everywhere in the US.
"Step out of line and you can kiss your retirement fund/last paycheck goodbye." Your employer can never refuse to give you your paycheck, even if you've been fired. Nor can they keep money that you invested in a retirement savings account, and they can only claw back the money they invested in the retirement account under very specific circumstances.
"We'll deny that you ever worked here" not actually possible unless they haven't been paying their share of employment taxes or forwarding your withheld tax to the government (in which case they're guilty of far more serious crimes, and you might stand to gain something by turning them in to the IRS.) The records of your employment exist in state and federal tax data, and short of a heist that would put Oceans 11 to shame, there's nothing they can do about that.
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