I have never head of that mega what i do not know what it is called. But metallica has some really good tunes and they pretty much started the metal genre.

Not sure if you're joking or not, but no, Metallica did not start the metal genre.

What?  Metallica started the metal genre? You could say that they popularized thrash metal, and were an import *part* of the creation of that genre.  But, metal in general, no way.  

The comment must be a joke though, claiming to not know of Megadeth.  

Both bands are favorites of mine, but I would probably pick Metallica. Few bands (maybe none?) have as an exceptional streak of albums as the five Metallica recorded from Kill 'Em All to Black Album. And yes, to me Black Album is as much a masterpiece as the preceding albums, just because it isn't thrash doesn't mean it can't be exceptional. It is dark, catchy, heavy and the best production on any metal albums. They have been pretty inconsistent since, but still Garage Inc. was another great album and Hardwired is very good. The rest is more of a mixed bag, but with some strong songs here and there.
Megadeth to me has actually declined more than Metallica, just a little later, they have made very similar sounding, competent, but rather generic sounding thrash-metal albums for 20+ years, with very few interesting tracks here and there. Their latest one is probably the best of their modern releases, but even that has its fair share of filler.
Still Peace Sells... but who's Buying and Countdown to Extinction are masterpieces in my book, with Rust in Peace and Youthanasia coming very close as well. I also have a soft spot for Cryptic Writing.

Part? Who else deserves the credit? Kill 'Em All is considered the first Thrash Metal album.

Metallica and its not even close, but then again most of the Metallica songs I listen too aren't really trash metal to begin with. Now if it would be between Iron Maiden and Metallica the decision would be a lot harder.

Certainly Overkill, and maybe Venom.  

Also, while I suppose we should credit his early work to Metallica, I consider Dave Mustaine the most important single person in the advent of thrash metal.  And pretty early on, he was doing the Megadeth thing, not Metallica. 

But, if we consider the invention of thrash metal in a more organic way, there are a good handful of bands that deserve credit. All of the big four, plus Exodus, plus Testament, Overkill, and a handful of others whose names I'm forgetting right now because they just weren't a big deal in the longer history of the genre. 

Dave Mustaine was a founder of both bands. Metallica was better over all, but Megadeth was above and beyond amazing.

Mustaine was not a founder of Metallica.

Not in the sense of posting the ad looking for other musicians. But, he was certainly in the first incarnation of the band.  And he did much of the song writing and general leadership duties of the band in the first year or two. He is definitely as responsible for Metallica's early sound, and their direction over the first few albums, as Lars and James, if not more so.

He was a big part of early Metallica, and he is a huge part of Megadeth. Metallica led the way, but Megadeth was definitely the second most significant band in the history of thrash. So, I feel like it's an easy case to make that Mustaine is the single most important person in the history of thrash metal.

He is also the whiniest person in the history of humanity. But, that doesn't make his contributions to thrash any less significant. 

Metallica because the only good album they did was Lulu with Lou Reed. I said what I said, no, I'm not joking. Hell, I recently bought Lulu earlier this year on vinyl for 300 US dollars. Great album.