I just got Jayna Davis' "Third Terrorist" at the library. A very quick skim shows several eyewitness accounts of McVeigh being seen with mid-Eastern types in the days and weeks before the bombing. The eyewitnesses were almost actively dismissed by the FBI.
Laurie Mylroie has written extensively about Ramsi Yousef's false identities and connections with Saddam.
Davis' and Mylroie's books have been recommended by James Woolsey, who was briefly CIA Director under Clinton (and who was rarely able to get a meeting with the POTUS).
Compare the sketch of John Doe #2 who was seen with McVeigh, and a picture of the Hispanic "dirty-bomber" who was arrested in Chicago. They look very, very similar to me, and this guy was connected to al qaeda and iraq.