I've been in a kinda similar situation as you're in now. Last fall when Megadeth came to Toronto, I bought a ticket, and at first I wanted to go then after a while I thought that the show probably wouldn't be as good as the Megadeth shows I'd seen in the past. I'd seen Megadeth a bunch of times over the years. so it's not like I'd never heve seen them if Dave decided to retire the Megadeth name. So I ended up selling the ticket to a buddy of mine who's been a 'deth fan for awhile (SFSGSW). He told me that the show kicked ass, and that it was the tightest he'd seen Megadeth in years! Sure, if I had gone to the show I might have thought differently, but I probably would've had a good time at least. I've been kicking myself ever since for not forgetting my preconceptions and just taken the concert for what it was, a Megadeth show (possibly the last one I'd ever see) and had a great time!

Sure Megadeth is different than Anthrax (there also not nearly as good!

.), especially both bands situations are totally different right now. Anthrax is on a reunion tour and Megadeth is on a possible farewell tour with a new lineup. If I were you I'd go to the show, but do whatever you want dude!