Hi, I haven't listened to the full discography Megadeth. I stopped after "The System Has Failed".
My favourite albums by Megadeth is:
1. Youthanasia;
2. Killing Is My Business... and Business Is Good;
3. Peace Sells... but Who's Buying;
4. Cryptic Writings;
5. Rust in Peace;
6. The World Needs a Hero
I'm aware that "Youthanasia" is not exactly thrash metal, but of all the albums I've heard, I like this one the most.
If we talk about favourite songs, it’s complicated. Megadeth wrote so many good songs on "Peace Sells", "Killing Is My Business", "The World Needs a Hero", "Youthanasia" and "Rust in Peace" that it's hard to pick just one. Probably this a "Addicted To Chaos" or "Wake up Dead".