I honestly think Wake Up Dead should be a staple. The part at around 2:00 in with the double-bass and such (after Poland's solo) is usually one of the best parts of a Megadeth show for me.
Essentially, they only songs I think NEED to be played are Peace Sells, Wake Up Dead and Holy Wars. Of course they're going to play Symphony every show but I don't love that song. I'm not really crazy about Tornado to be honest, other than the solo it's kinda lackluster.