I suspect that right now the families of the Oklahoma bombing victims are feeling their loss no less. His death doesn't erase the deaths of their loved ones in any way. It does bring a small measure of closure to events, though.
I stand by what I said previously in this Blog: for killing all these innocents and showing NO regret whatsoever (calling them incidental to his plans), for his callous disregard for other lives, McVeigh didn't deserve to continue the gift of life... but how sad is it that any of us would think that now?