Well, let's get this out of the way first before I get torn apart by people for voicing my opinion on only part of this. I agree that bullying is bad. However- and I only say this after much time spent on the internet- it is NOT as bad as real life. Now, if you are dealing with a "hacker" or someone that could get your information, I could see how they can keep bugging you (but that isn't really "bullying" that is identity theft or stealing personal information at least). I can tell you that real world bullying can be far more damaging than something someone says in a fleeting comment or personal message (dragging things on bulletin boards or publicly displayed messages are not included, since that is just f***** low IMO, your private business should be kept that way). I was bullied throughout middle school and high school for being gay, and it got worse after I came out. If someone messaged me online hurtful things, I simply stopped reading as soon as the tone got a point I didn't like. On forums, games and most social media sites, you can block people. You can simply choose not to read the words they have sent you. Words spoken travel through the air and hit your ear whether you want it to, or not.
As for why they do it? Maybe they know that someone on the other computer will get angry or sad or w/e. And they know if they get it turned around on them, all they have to do is log out and they are not in the situation. Kinda like PVP players in WoW that gank you while you are trying to do your Firelands dailies OVER AND OVER and then they post the video to YouTube. THEN YOU CAN GET ANGRY. Delete the message, go to a different site, play on a different character, eat a sandwich. Most of all, remember: people on the internet think the Hindenburg didn't happen, and that the comment feature being changed on YouTube is "worse than Hitler". The people who use the internet (on average) are STUPID. The opinion they have about you has ZERO basis on anything real because the DO NOT KNOW YOU. Breathe deep, seek peace. :D