The thing one must do is re-examine why the death penalty is wrong. And the argument that the death penalty serves as a deterrent is weak at best. The thought of death certainly wouldn't have deterred McVeigh from his murderous ways. But such questions are ancillary. And it's particularly wrong for the government.
Individuals often act in a moment of rage or passion.
The government kills in a calculated and carefully planned way. Execution by the government is wrong whether the executed is the murderer of one or, as with McVeigh, the murderer of many. For those who will find closure with the death of McVeigh, there's another way that doesn't lower us to the level of a killer. Closure should come when the murderer is locked into prison never to enjoy freedom again. The winds will blow, but what's right is right and what's wrong is wrong.