#1
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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#2
IMO Scarified, but that is just my opinion. Go with the one that sounds nicest to you or the one you enjoy playing most.
Guitars:
1994 Epiphone Explorer
1997 Epiphone Les Paul
Tech side:
Blackheart BH5H Little Giant
Rat DeuceTone
EH Knockout
G Lab Wowhee Wah
#4
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.