Risk is really good. Not sure if I'd say it's awesome, but it gets way too much shit. Definitely a bunch of good songs on it.
I love Risk, but it's hardly the quintessential Megadeth record so I'm not surprised that certain sections of their fanbase aren't keen on it.
It reminds me of Queensryche's Hear In The Now Frontier, which I feel would take a lot less stick if it'd just been a DeGarmo solo album.
I could never get into The World Needs a Hero though. It just felt like they were trying too hard to be heavy and thrashy again, but they just weren't there. I do like Disconnect though.
As soon as an artist tries to tailor their writing to what they perceive their fans want then they're on a sticky wicket and TWNAH is a prime example of how it can backfire. It didn't help that Al Pitrelli wasn't in the same league as Friedman (technically he probably is, but technique alone doesn't write interesting solos), but fundamentally the album is ploddier than PC Plod plodding around plodtown.
Personally, I think the only strong post-Risk album is The System Has Failed, which was written as a solo album without any overt attempts to appease Megadeth fans (ignoring bringing in Chris Poland to do solos).
There's decent material on UA and Endgame, but until Mustaine starts singing melodies properly again I'm out and I say that as someone who has Megadeth on 1000+ plays on Last.FM.