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, a 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.
Absolutely loved that campaign. Played a half-orc cavalier, Gunther Von Panzerkrieg. A real tank.The Slumbering Tsar is 900 pages of ruined city megadungeon.

(Dungeons & Dragons)
Rulebook featuring "high magic" options, including a host of new spells.