State police believe the letter was sent by whoever placed two bombs in Concord, New Hampshire last year and made various other threats, reports John Henning of CBS radio station WBZ .
Police intercepted the letter addressed to the governor on Wednesday.
The ornate handwriting on the envelope received Wednesday looked identical to handwriting on bomb-related letters received last year.
One bomb caused a small fire at the Concord City Library; the other was found on the steps of the state library, across the street from the governor's Statehouse office. No one was arrested.
State Police Col. Gary Sloper said authorities have contacted all the communities holding celebrations Friday night, but were leaving it up to them to decide whether to cancel their events.
State police set up a hotline to receive tips: 888-222-0267.
"In the interim, we ask that citizens exercise an appropriate amount of caution and report any suspicious activity to the state police," said Sloper.
First Night organizers in Portsmouth and Concord said events would go on as scheduled.
"This caught everyone by surprise," said Wayne Chick, a sponsor of the Portsmouth event. "Obviously, you never want this type of thing to rear its ugly head."
Heidi Edwards Dunn, executive director of Concord's celebration, said her group had asked police for extra security, and "We're trusting that they know what they're doing."
On the street in Concord, candy shop owner Costa Bart said he usually attends the festival and would not let the threat deter him.
"It's overblown, the same as the Y2K bug. I think there's very little that's going to happen," Bart said.
Edie Posselt, 52, of Canterbury, said she and her husband planned to go to First Night in Portsmouth, but might reconsider.
"If people weren't thinking about (possible dangers) over the past two weeks, they're certainly thinking about it now, with Seattle and it being in the news so much," she said. Seattle canceled its New Year's Eve celebration because of concerns about terrorism.
In Portsmouth this morning, Lynn Harrington of Hampton said she plans to attend First Night in Concord.
People who make such threats are just trying "to cause concern
that's what they get their kicks from," she said.
In October 1998, authorities received letters and at least one telephoned threat that two bombs would be placed at locations on Halloween and that a mall would be bombed a month and a half later.
No other bombs exploded or were found.
Authorities said the man had a grievance against the state and made demands for money, but the bomber had not said who in government he was upset with, or why.