they're usually not caught not because of how smart they are, but because of incompetence of authorities. or is it even the right word... the police work is hard and it used to be even harder before technological advances of today. the hardest part about serial killers is actually recognising that THERE IS a series. not always there is one MO, as the circumstances change, so cases don't get associated, and even after the killer is caught remain unsolved. sometimes they commit murders in different jurisdictions, and when they're caught in one- others remain unsolved. authorites are reluctant to admit they have a serial killer, as this brings the angry public at them, personalised by annoying journalists, who are quick to judge and call for somebody's head; also, it's difficult to prove in court that this one particular motherfucker killed all those folks, so usually they end up with one or two victims they can prove, and the rest officialy remains unsolved.
the ones who like to mess with the fbi actually make their job easier. they leave a recognisable mark at the crime scene, or write an angry letter to local newspaper (Unabomber comes o mind, or BTK) and the authorities know what they're dealing with. they will now asign group of people and extra resources to this particular case.
but i don't think messing with the fbi is the main fun part (maybe for you, Onix) but you do know serial killers existed before fbi was created, and they also exist outside of usa.
and if you live in an area where half the population hates police so much i'm very sorry for you.