There was a Twilight Zone episo... several episodes on this matter. Essentially, Rod Serling says you can't change history.
Rod aside, the question becomes "How important are the lessons of history?" The images and testimonies of Holocaust survivors are a stark example of the cruelty and inhumaness of humanity and the results of power. What about the Manhatten Project and the nuclear arms race? If we could eliminate the cold war, should we? Should we stop the slave trade? Should we stop the genocide of Native Americans? Should we stop Al-Queda in the year 2000? Should we stop the Columbine massacre? Should we stop the enslavement of the Jews, find a way to stop the AIDS virus before it becomes the pandemic it is now, fix the situation in the Middle East before it started, etc, etc...
In the past few decades, with the rise of global media, photography, film, and radio the impact of historical events are brought quicker to us and the time it takes to say, "Oh. That was bad." is decreased. In the past hundred years we've developed cleaner cities and factories, had civil rights extended to blacks, women, and others, we've witnessed the horrors of the Holocaust, the panic and fear of the atomic bomb and the cold war, seen recreational drug use brought to the forefront of policy, experienced riches, experienced poverty, had gap between the rich and the poor widening, the rise of the Internet and the beginnings of a global community, and terrorism both domestic and foreign. That's just skimming the surface.
How can you pick one event to change? If you stopped the Holocaust, would there be another, larger one? If you stopped the WTC attacks, might that open up the opportunity for a larger one down the line. If you stop the Black Plaque, who's to say there won't be another, newer virus resulting from that. Fixing one thing may make things worse.
I wouldn't even take the time machine back ten years ago to smack myself and say, "Get over it, you whiny dumbass and get your butt back on track."
The history of humanity sucks, but it's necessary.