In my opinion Megadeth are too soft, their music is just not as hard as want it to be.
Slayer are too demonic songs like: Jihad, Raining blood and Angel of death are too anti-god and too hail satan. Of course there are songs like dittohead and I like that but they are too dark for me.
Metallica are my favourite the sound the lyrics and the history of the band just won me. I know they are assholes but the music that they make is amazing.
I will be honest and I will admit that I have listened only one song by anthrax and I don't have opinion about them.