McVeigh targeted the Alfred P. Murrah building b/c the ATF, which presided over the Waco raid, had a good-sized presence there. Earlier, he'd thought about going after Janet Reno and Bill Clinton for their involvement. Perhaps, now that's he's hurt "the underlings" a bit, he'll go after those two.
McVeigh's capture was a fluke; he was stopped for an expired license plate and the ticketing officer thought he was suspicious, so he decided to take him in for questioning. Either we get rid of that traffic stop or have him overpower the policeman (McVeigh was armed, but according to interviews, he respected "local police" and thus didn't fight) and we can have him get away. Of course, the later option means that he'll probably be hunted as a cop-killer (or cop-shooter-and-leaver-for-dead).
Some Muslim groups have claimed the post-OKC anti-terrorist stuff was targeted at them; though it's unlikely a foreign terrorist would think much of the incineration of a bunch of cultist, it could have been an attempt by an Islamist to "cover his tracks."
