I always had Megadeth at the top of the Big Four, I just love Dave Mustaine's songwriting and riffs and his lyrics, and Metallica/Slayer a close second. I never got into Anthrax but I will eventually I'm sure, but Dave Mustaine is responsible for me being a professional guitar player, he inspired me so much and now I am making money by making music, its come full circle.
For me the greatest thrash metal records are
Rust In Peace
And Justice For All
Reign In Blood
Those albums helped to create lot of musicians and bands who were inspired by them.