Megadeth, Slayer, Metallica and Anthrax are known as "The Big 4" in thrash. Some people don't mention Anthrax in "The Big 3" and some would say Exodus should be in there too as they were the first thrash band. Metallica were only thrash while Dave Mustaine was in the band, before he was kicked out and started Megadeth. https://en.wikipedia.org/wiki/Big_Four_of_Thrash
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