TWNAH was mostly just a continuation of the stuff they were doing on CW, but just not as good. I think TSHF is a very strong effort, and one of my favourite Megadeth albums, and i was really dissapointed upon first listen of UA that is wasn't in the same vein as TSHF.
I hope they come out with something that mixes the commercial hard rock and slightly less than thrash metal of CW with some of the totally hyperspeed stuff from PSBWB and SFSGSW with the fast tech stuff from Rust.
My favourite is Rust, seconded by CTE and CW, followed by TSHF.
Killing is actually a way better album than PSBWB IMO, but that's just cos it sounds heaps more evil.
Either way, they've never made St.Anger, i mean, even Risk was awesome, it's not metal at all but the songs are just great listenable songs.