I'm not a big theory guy, but I have played in 2 different thrash bands. I'd recommend checking out Forbidden's "Forbidden Evil" as that record has some great soloing. As stated above, Testament as well has great lead playing on the Skolnick records
For rhythm stuff... Sepultura's Beneath The Remains and the first two Testament albums are pretty much the Bible of Thrash. Learn every track on both of those records and you'll be set for anything thrash-wise. Sure, downpicking at 200 is cool... Galloping at 240-260 is where the real fun begins, especially when you take into consideration that they would play the songs even faster live.