The one case in which we probably should have tried for a capture was the case of Osama bin Laden. I suspect that the military opted for a kill because they did not trust the US civilian authorities to keep him in prison (or execute him), instead of releasing him as part of a some sort of peace treaty. Note the Karma Houdini fate of Yasser Arafat, and Olmert's release of some very, very bad men. And, of course, trying for a capture would have meant some additional risk to the forces involved: he might have had a holdout weapon and been able to effectively use it. Of course, I'm glad we killed Bin Laden anyway.