Which of these songs should I learn first?

Dream Theater: Pull Me Under, Another Day, Under A Glass Moon

Racer X: Scarified

Megadeth: Holy wars, Hangar 18, Tornado of Souls

Annihilator: Fun Palace, Stonewall, Alison Hell

Cynic: Veil of Maya

King Diamond: Black Horsemen
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IMO Scarified, but that is just my opinion. Go with the one that sounds nicest to you or the one you enjoy playing most.
1994 Epiphone Explorer
1997 Epiphone Les Paul
Tech side:
Blackheart BH5H Little Giant
Rat DeuceTone
EH Knockout
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scarified.you'll gain more from that one,and it sounds good.it is fairly easy to learn after you get flowing too because it is very similar through out the song.