This is not a moral argument about the righteousness of state-sanctioned killing, nor does it revolve specifically around the actions leading to McVeigh's death sentence. Not the right question. In fact, someone is watching it now. Executions are not private, dignified affairs. In addition to the defendant and the prison and medical staff, the media can send representatives, the defendant can have witnesses, and the victim's family members can attend.
Some people choose to say nothing and let silence be their final statement to the world.
McVeigh has said that the actions of the government should not be carried out in secret. Even though the American death penalty is not secret in the same manner as Stalinist Russia, Americans who haven't seen can't really know. Since pollsters say that we as a nation stand as a majority in support the death penalty, we as a nation should watch what we support and be fully informed in our opinions. Anyone who says they support the death penalty should be willing to watch at least one person die because of it and realize the immense responsibility we all bear when someone is executed. As to McVeigh specifically, this is not a chance for him to become a celebrity martyr.