A megadungeon is a really big dungeon designed for crawling.
OK, more details. Well a megadungeon IS a big dungeon, often spawning several floors, each floor containing several rooms. The dungeon itself usually has several entrances from the outside.
A megadungeon is not just a big dungeon in the sense that it come with more than a list of room and their content. You usually got a description of the surroundings, an history of the dungeon itself, a description of the different factions of monsters and their relations, etc. Since megadungeons are huge and are intended to last for more than a few sessions of play, the sandbox aspect is often emphasized more than in a regular dungeon.
Of some note: There have been megadungeons designed to be run as an party of adventurers' entire career, from Level 1 to whatever the max level is in your edition of D&D, or other system you use.
Examples of Megadungeons
- Barrowmaze: A megadungeon for Labyrinth Lord written by Greg Gillepsie. A 5th Edition version was also released after a successful Kickstarter. The dungeon itself is a series of interconnected barrows in a marsh. Bring a cleric.
- The Forbidden Caverns of Archaia: Same deal as above. Not really a megadungeon per se, more like a cluster of small to medium-sized dungeons, containing every evil humanoid races under the sun.
- Undermountain: One of the megadungeons introduced in the Forgotten Realms setting in the 1990s, Undermountain is a 23+ level sequence of floors underground, each different from the floors preceding and succeeding it. There are about five ways in and out, and it has magical alterations intrinsic to it that make leaving by anything but mundane means almost impossible.