It's an easy band to criticize because even the most loyal Megadeth fans, unless delirious, will have to admit that Dave Mustaine can be a bit of a douche. The concert in Ireland is a good example. His behaviour loses him friends and band members. He seems to always be involved in some kind of bitch-fight.
To really like them, I think you just have to come to terms with all that and just appreciate them for the music