The TRUTH is that you use what is DOMESTICALLY AVAILABLE. If, for instance, you were in Iraq, you would probably find easier access to high-explosive ingredients, along with custom machined deflection plates and unused artillery shells.
Here in the U.S., a terrorist would have to resort to taking apart shotgun shells and using the powder for the blast, and the pellets for shrapnel. Since the powder used in gun shells is a slow burning powder, then one has to go 'McGuyver' and come up with a way to allow the pressure to build to max, before release. Hence, the good old Walmart Pressure Cooker.
Eric Rudolph used something similar to nitroglycerin, but he had some military background, having spent a year with the 101st. The materials used here are pretty amateurish. Eric Rudolph was identified by people from the scene of the explosion. The denouement for this case may equally depend on something similar.