A "megadungeon" is a dungeon (or some other self-contained adventure site) large enough to encompass an entire campaign of adventures. A megadungeon may contain hundreds or even thousands of connected corridors, areas and rooms, and exploration of the site for some purpose (usually including the acquisition of wealth) is the focus of the game. A typical megadungoen is run in a fantasy style game, though the idea can be expanded to any sort of a game where characters spend many sessions exploring and navigating a single location.
This style of game is often associated with the older editions of Dungeons and Dragons, since the first two games run with the system (Greyhawk and Blackmoor) were primarily megadungeon games.
A megadungeon lends itself well to level-based games, or other systems where characters increase in power as the campaign progresses. It features many interconnected areas of increasing difficulty, including multiple floors, secret areas, traps, puzzles, opponents, hidden treasure, and other role-playing opportunities. Game balance and pacing are achieved through player discretion: as characters explore the site successfully, they gain the ability to access the "deeper" levels of the megadungeon, which are usually more challenging yet more rewarding.