I think Metallica's first four records, in comparison to Megadeth's first four records, are superior. And that is saying something, given Peace Sells and Rust in Peace. I think some songs on those two records are superior to the songs on the Metallica records (Lightning, Justice), but overall, as albums, the Met 4 vs. the Megs. 4, are superior.
That changed for me with Countdown. i thought from them on, Megadeth was the better band. Countdown destroyed the Black record, and Youthanasia was superior to Load, Cryptic is better than Re-Load.
After that, Metallica wasn't heard from again until 2003 with St. Anger, but Megs had already done the piss poor Risk, and then the started their own climb back to greatness. I thought 2004's The System Has Failed was far superior to anything Metallica did post-2003.