Felipa hits right on the head the most compelling reason that I opposed the execution of McVeigh:

"There are unanswered questions which McVeigh might answer if he lived long enough. Whatever he knows dies with him."

And it's not just that there are unanswered questions that troubles me; it's that some of those questions are so big and disturbing and relate to the possible (I'd say "likely") existence of a much wider conspiracy that brought about the bombing. The thirst for vengeance against Tim McVeigh has made it much less likely that anyone from whatever extremist "patriot" cell McVeigh was working with (or for) will ever be brought to justice.

For reference on these questions, see:

Independent Killing will hinder the search for McVeigh's helpers, from today's Independent
The mystery of John Doe No. 2, from Salon.

Chris