3. There should be distinct levels - layers or regions of the "dungeon" - by which the players can choose their difficulty and mark their progress. There should be multiple methods of traversing from level to level and there should be occasional means by which the players can involuntarily wind up on levels beyond their aim, so long as it become obvious fairly immediately that they've done so. ("Oh my God! We've wandered down to the 6th level!!!")
In addition, I think that there should be many connections between levels, such that players nearly always have the option of being tempted to delve deeper. Nothing beats the play when trying to "score just one more" with dwindling resources!
Some other defining characteristics worth considering:
- the mega-dungeon should be located sufficiently near to a major town or city that the PCs can dispose of goods and treasure there (as well as be assessed levies, taxes, fees, fines, etc.)
- the mega-dungeon should still be closely connected to rest of the campaign setting, including not only the settlement, but other far away regions/locations, and perhaps other dungeons or planes, too
- there should be multiple entrances to the mega-dungeon, including some hidden ones, ones that access deeper levels, and ones that come in from other locations (from the town, from gates from other locations/planes, etc.)
- the mega-dungeon, some of its features, and some of its inhabitants should be legendary within the campaign world, and should appropriately awe/terrify the players when they finally encounter them: the DM can develop these elements through actual play, as well as seed hints, teasers, and such via NPCs/lore/etc.; think of "The Black Reservoir" from Castle Greyhawk, or the Fireplace level from Undermountain, or The Well from Rappan Athuk
- finding hidden, unexplored levels, sub-levels, or regions within levels should be as much of a reward as finding cool treasure and monsters, sometimes: the mega-dungeon DM can really pull out all the stops for such "specials"
- the levels should be sufficiently large for players to get lost---not sure which level their on, not sure where in the level they are, not sure how to get out or at least to get back somewhere they can get out from!