The documentary on Netflix "Oklahoma City" is fascinating. I've never known much of the story of the bombing but the backstory of the Aryan Nations, Ruby Ridge and Davidians is nuts! I never knew anything about any of this. I was only like 5-8 years old during this whole thing.
There is another documentary on net flix about Ruby Ridge that is very good. The name of it escapes me right now.
Oklahoma City isn't really a destination city, but if you ever get the chance please go to the memorial. It's extremely sad, disturbing, and yet fascinating.