Christ taught us at the Sermon on the Mount that heart rather than specific action dictates the nature of sin. I do not believe there is anything inherently immoral about the death penalty. However, those that cheer or find satisfaction when the death penalty has been carried out, have IMHO, committed murder in their hearts (hence it is murder), but it is not murder to those that have shed a tear in full thought of the human tragedy that has unfolded. If the death penalty is about retribution (which I believe it is to more people than not), its murder. If the death penalty is about law and order, it is not.