B0SC0: Could never get into Slayer - their sound just didn't appeal to me.
I've only listened to a handful of Anthrax songs, so haven't formed a concluding opinion on them.
But honestly, we all know the real debate is Megadeth vs. Metallica and, IMO, Metallica wins hands-down. While I can appreciate Megadeth's sound and the technicality behind their play (they have the better musicians, excluding vocals), Metallica have the much more developed and appealing sound. While I'm not always happy with what they've done, I can still find tracks on every album that I enjoy and could easily spend a day listening to them, regardless of the mood I'm in.
Interesting considering the Dave Mustaine formed Metallica. :P