Usually, I'm against the death penalty. Killing a killer won't bring their victims back. I can't really see any of the survivors feeling any less empty because of this.
On the other hand... it's almost a cliché, but life is a gift. It can be difficult at times (I know this intimately), but just being here to experience it is a blessing.
Tim McVeigh took that gift away from over 100 people - many of them children, young people who didn't get the chance to see where their lives' journeys would take them. Worse, he has no remorse for what he's done; in fact, I've heard that he thinks he did America a favor by killing these innocents.
Someone like that doesn't deserve to live, in my books.