You have three options:

1. Replace the crankset - you can buy a used on eBay for $50 or less.

2. Slap some JB Weld in there, tighten the pedal, and hope for the best. This may work and, unless the pedal comes off at some inopportune time and gets you killed, it just may work.

3. If it is the right side, I think you can have a machine shop installed a heli-coil into the bad threads. This will allow you to screw the pedal back on. If it is the left side, with LH threads, you can still do the same thing, but you may need another right pedal because I don't think they make LH threads for heli-coils.