 " Cold Sweat " is a Thin Lizzy cover , originally appearing on Thunder and Lightning ( 1983 ) . Excluding bonus tracks , it is the first cover song to appear on a Megadeth album since " Anarchy in the UK " , a Sex Pistols cover , was included on So Far , So Good ... So What ! in 1988 . Mustaine said he had been wanting to cover the song since the early 1990s . 
