Gigantour (2005–2006)

In the summer of 2005, Mustaine organized an annual heavy metal festival tour, dubbed Gigantour. Megadeth headlined the inaugural run with Dream Theater, Nevermore, Anthrax, Fear Factory, Dillinger Escape Plan, Life of Agony, Symphony X, Dry Kill Logic and Bobaflex. Performances from the Montreal and Vancouver shows were filmed and recorded for a live DVD and CD, both of which were released in the summer of 2006.

On October 9, 2005, following the successes of The System Has Failed and the Blackmail the Universe world tour, Mustaine announced on stage in Argentina to a sold out crowd at the Pepsi Music Rock Festival that Megadeth would continue to record and tour with the line "... And we will be back!." This concert was officially released on DVD as That One Night: Live in Buenos Aires in March 2007. The DVD went gold on July 19, 2007. The 2 CD version was released on September 4, 2007.

In February, 2006 bass player James MacDonough parted ways with the band for what MacDonough called "personal differences". He was replaced by bassist James LoMenzo, who had previously worked with David Lee Roth, White Lion and Black Label Society. On March 16, 2006 the new Megadeth line-up made their live debut headlining the Dubai Desert Rock festival held in the United Arab Emirates, alongside Testament and 3 Doors Down.

On March 21, 2006, Capitol Records released a two disc DVD titled Arsenal of Megadeth, which included archive footage, interviews, live shows, and many of the band's music videos. Due to licensing issues, movie soundtrack videos, as well as videos not released by Capitol Records were not included on the DVD. However, the DVD still featured the songs No More Mr. Nice Guy and Go to Hell from Hidden Treasures. The DVD went gold on July 27, 2007.

Second installment of the Gigantour was launched in fall of 2006, Megadeth headlining the inaugural run with Lamb of God, Opeth, Arch Enemy, Overkill, Into Eternity, Sanctity and The SmashUp. Gigantour 2006 also continued with 3 dates in Australia, line up included Soulfly, Arch Enemy and Caliban. Performances from the Sunrise, Florida show were filmed and recorded for a live DVD and CD, both of which were released in the spring of 2008