Always been fond of the one-stop shop of adventure locales, city adventures. Very much a city person. Cities are an urban jungle (or dungeon) of different physical strata (streets, wards, districts, periphery, undercity, vassal or port towns, etc.), but also of contrasting tiers (rich/poor, old/new, thieves/guards, civilization/wilderness, dwellers/outsiders). One could adventure lifetimes in a good-sized city and never run the same adventure twice. The adventure and conflict comes to you as people, traders, invaders and monsters come to you.
I suppose you could do that in a megadungeon as well, but why not have a megadungeon below the city. Or why not turn a city into a megadungeon. A ruined city is a natural skeleton from which to build a dungeon. Logically that's what most megadungeons should be. Who sets out to build a megadungeon really? Besides mad mages. Well, there's no shortage of those in fantasy settings. Okay, so this may be a more common place activity of unhinged magic-users. Good. The more there are, the more murderous!
Along the lines of that thought, what about the classic sunken city trope?
"A City. Since Sunken. Lost to the Ages. Now All Megadungeon."
In fact, this little blurb from WotC's Unapproachable East always struck a chord with me:
This island was once the center of civilization throughout the Wizard's Reach and the Alamber Sea. It was the most important shipping port in the region, and thousands of people lived there - right up until the day the place's rulers lost a bet with a demon prince and paid with the death by drowning of all they held dear. Umlaor lies less than fifty miles west of the Alaor, once part of the same chain of islands. Today, local sahuagin live in the upper levels of this sunken island, but the caverns farther below are filled with creatures so noxious as to turn the water black with their passage.
I quite like the sound of that.
Solid hints of the Mythosic without being too tentacle-bound.
Who are we kidding, we know they're down there, waiting.