Just an educated guess, but I think Marty does indeed use a pick, it's just that he covers most of it with this thumb and only shows the very tip of it to the strings. But, given his folk influences, he can probably fingerpick well too.

His soloing on Rust in Peace and Countdown to Extinction is indeed supernatural; but - and I know this won't be popular - I personally think his best lead work is on Youthanasia. The melodies in those leads are incredible, and he incorporates experimentalism and shred more coherently with this melodic sense. The solo from "Family Tree" is probably my favourite Megadeth solo ever, it sends shivers down my spine. But there's no doubt that his other Megadeth work is equally amazing.

As for the Megadeth-vs.-Metallica debate... meh. Different strokes for different folks. I think Megadeth's overall body of work is much more original and creative, but that there are a handful of Metallica songs which are just in a different class altogether. But I've heard a lot of people who believe vice-versa... anyway, I think we'll all agree that they're both very good bands, regardless of which is "better".