Cristina Scabbia is the one singing with Dave in the remake of "A Tout Le Monde", from United Abominations.
Throw It In: The end of the band's cover of "Paranoid" includes Dave yelling "Nick...Nick...Nick!" to get the drummer (Menza) to stop playing, to which he responds "Fuck. Me. Running!" That can count as well as a Crowning Moment of Funny.
Sometime around the end of The Eighties, Mustaine wanted to add Darrell Abbott and (possibly) Cliff Burton to his formation. None of these resulted, due to the death of the latter and the former wanting to play with his brother (who is a drummer) while the drummer role was already occupied by Nick Menza. Could you imagine how awesome the band would became if said members (the Abbott brothers & Cliff) would have been members of Megadeth? See the entry on the page for details.
Their cover of the Duke Nukem theme was going to be part of Duke Nukem Forever's soundtrack. To rescue it from being a Wasted Song, it was included in Duke Nukem: Music To Score By, the Japanese edition of Risk, and several compilations such as Warchest.
On the same vein, "Gears of War" wasn't finished for the time of the game's launch, though the coverart◊ for the single depicts the game's logo and typographied name. The song was included in United Abominations, and the single was released, anyway.