Here's my very rough assessment of Megadeth's history:
Pre-Rust In Peace: Some good stuff here and there, but the sound is so primitive and the quality is very inconsistent. I don't know if that is a factor of Mustaine not yet really coming of age as a songwriter yet or him being so smacked out of his mind on the substance du jour that he was just all over the place. On the former point, he was an amazing player and wrote some incredible riffs and solos, as evidence by both his work in Metallica and the early Megadeth albums; but in terms of writing complete songs...I dunno. He just wasn't there yet for my tastes. And the production on those early albums takes away as well.
The untouchable golden age: Rust In Peace, Countdown To Extinction, Youthanasia, Hidden Treasures EP. There is a progression toward being more accessible, but it worked. These albums really are fantastic.
The "identity crisis": It seems odd to lump Cryptic Writings, Risk, and The World Needs a Hero into one "era" of the band, given the changes in sound and lineups through that time period. But if there is a common thread, it is that Megadeth was all over the place. Cryptic has some really good songs and some songs that just went WAY too far in trying to make the band accessible to the masses and watered down what this band is. Risk is by far the most experimental thing they have done. And despite being panned by the fans, it is my favorite album outside of the golden era albums. The only song I don't like is Crush 'Em, but I get what Dave was going for. TWNAH is...odd. It was an attempt to return to form, but is still kind of all over the place. But to me, it is worth having for the title song and the last half of the album and for the absolute drum clinic put on by Jimmy DeGrasso on this one.
The latter years: Other than United Abominations, all their later albums have been pretty good, but have also been pretty samey. For each album, there are a few songs I really like, and a bunch that are forgettable standard fare. I enjoy them on the rare occasions that I pull them off the shelf. But I don't really desire to very often at all.