Ammonium nitrate does a pretty credible job of preventing itself from being used as an explosive to begin with. It's damn difficult to initiate, and anyone with the capability to do so would be able to trivially defeat pelletizing by, e.g., just grinding the stuff up first.

It's not a matter of just sticking a fuse in it like Wile E. Coyote. You already have to have your hands on some pretty serious blasting caps or have the capability to manufacture your own, and at that rate you're already pretty well versed in making things go boom.

McVeigh had to resort to using dynamite as a booster to initiate his truck full of ANFO and even then IIRC not all of it went off. But if you already have dynamite... you already have dynamite.

What pisses me off is that whole debacle made potassium nitrate hard to get your hands on in bulk because too many idiots in suits flunked high school chemistry. KNO~3~ is significantly more useful for purposes other than stripping the facades off of government buildings.

Oh, and after the affair some dimwit from the ATF came to my hardware store and tried to grill me about chemical fertilizers in a circumspect and very strange way that was attempting to simultaneously serve as a threat while also not letting slip the knowledge of what ammonium nitrate could possibly be used for, in case the mere act of asking gave anyone any ideas. I lost count of how many ways I had to phrase "we only sell consumer grade blended products" at him until he finally went away. Demonstrating that I knew more about it than he did probably would not have been a great idea regardless of how satisfying it might be.