Well, technically we don't know for sure, but there are a lot of theories afloat. Since they off themselves, nobody has ever been able to do a psychoanalysis on them. White middle-class spree killings and murder/suicides have become the new wave in the past few years (especially in schools).
Actually they really started piling up in frequency around 1997. But back then, there was no suicide involved. 1998 was when the last recent school shooting to happen without suicide. That was Kip Kinkel in Springfield, OR (The town right next to mine, actually). He murdered his parents the night before he went to his high school, where he killed 2 and injured 25.
Even though Kip Kinkel never committed suicide, there are some things about him that have brought speculation on why people do these school shootings, spree killings and murder suicides. The big one is a major event that happens not long before (The Omaha shooter had 2: Losing his job and girlfriend). Kip Kinkel was expelled the day before his shooting. Depression and anti-depressants is another thing (though anti-depressants didn't come into play until the next one). He was also always interested in guns, and he had very strict parents. Are these the only possible reasons? Probably not.
This didn't get nearly as much news coverage as the next shooting on the list, which didn't even happen until 11 months later. That one was the infamous Columbine.
They were supposedly social rejects for the most part (which seems to be a stark commonality). They also planned the shooting (which is also common among a good majority). Eric Harris was also an extremely angry person, as was shown on his online blog. He also took the antidepressant Luvox, which started the debate about antidepressants' effects on younger people. He started drawing up a hit list and collecting guns long before the shooting took place. Harris even went to a psychologist for about a year (which obviously didn't work). He and Klebold carried out the shooting just 3 days after their senior prom, and not too long after Harris was turned down from joining the military because of his perscription for Luvox (the major bad event).
So, I think it's because of any number of these reasons: Anti-depressants and depression, interest in violence, being ostracized by society/bullying, a major bad event (kind of the straw that breaks the camel's back), bad relationships with parents. (Some people blamed violent video games and angry music for Columbine, which I thinnk is ridiculous and unsupported)
It seems to be something akin to feeling that society has failed you, and at the same time you've failed yourself, so you want to get revenge on society, and afterwards end your mental suffering once and for all.