Funny you mention Anthrax because they also changed music. Even though they fit in the speed/thrash catagory, they opened a new door when teaming up with Public Enemy. That new sound paved the way for bands like Korn and Limp Bizkit starting so called Nu Metal.
Another was Ronnie James Dio joining Sabbath after Ozzy bailed. Not to copy Ozzy's signature of fingering peace signs, Dio used his index and pinky fingers making the Devil's horns sign an international symbol for Heavy Metal. Following Ozzy took some balls and his kick ass vocals ripped on the "Heaven and Hell" album.
Then there's that nutty band "Twisted Sister" having to testify before Congress after the Government threatened to ban their record sales (good ol' Tipper Gore). They were one of the first bands forced to put the "Parental Advisory warning label" on their albums.