The last time Motörhead played Denver was September 9, 2008, as part of the Volcom Tour, with the Misfits, Airbourne, Valient Thorr and Year Long Disaster, also at the Fillmore, according to the band's gigography. It's not the first time Motörhead has toured with Megadeth; in 1986 the two bands did a string of dates with opener the Cro-Mags.
Here's a recent (August 2011) live video of the band, and while Lemmy's voice hasn't been the same for more than a decade, after a few shots of whiskey, you probably won't notice.
Related Links: - Motörhead, Clutch, Valient Thorr @ Club Nokia in LA (LA Weekly)
- Lemmy from Motorhead Keeps Fit By Drinking Jack & Coke and Sex (Village Voice)
- Lemmy Entertain You: Twenty questions With Motörhead's Lemmy Kilmister (Riverfront Times)