See the intro to that song, they use it at the start of Fallout 3 as well.
It kind of suits it too. I bet Bethesda are Megadeth fans. I know the intro isn't a Megadeth song. But it is safe to say they got the idea from Megadeth. Sinse Set The World on Fire and Fallout 3 are about the same topic.
I'm listening to awful trance music on the radio in my office. Today was not my day to choose the radio station so we're on the shitty local dance music station, booooo.