Since James' open Friday post raised some thoughts on megadungeon design, etc., I thought I'd chime in with some of my own thoughts of the subject, considering I am currently working on building one myself (albeit slowly.)
First of all, any DM considering actually running a megadungeon game, needs to be aware what it encompasses. In my hardcore playing days, I went through 2 different published megadungeons in what were essentially campaigns in both Undermountain and Night Below. They were fun, and exciting, and at times, tedious and boring. Before starting up a megadungeon game, you as the DM need to ensure that this is something your players want to do. You don't want to spend a month building a complex megadungeon only for them to explore in one 4 hour session and leave never to return. The megadungeon campaign takes a committment from both players and the DM. What are the motives of the players? Do they want their characters to become well known and famous adventurers involved in major political conflicts and intrigue? If so, the megadungeon is the last place you want to stick them. The megadungeon is kind of like Las Vegas: whatever happens there tends to stay there. Back when we ran through Night Below, the running joke for our party was "we saved the world...and no one ever knew about it." Why? Because we were stuck underground exploring areas relatively unknown to surface civizlation for months at a time.
That is not to say there can't be story elements incorporated into the megadungeon campaign. There most certainly should be those elements present, it's just that the players may never directly achieve any surface fame for their heroics. It's possible to work around this, certainly, but for the most part, megadungeon exploration is just that: exploring dangerous and huge areas in an effort to gather riches and wealth. Along the way, you as the DM, will want to make this as interesting as possible for them. Fighting rooms full of monsters for no reason is fun for a couple of hours, but eventually, it wears off. This leads to my next point.
There is a myth the seems to float around that the megadungeon must somehow "make sense." Like, how can you walk into one room, and fight 5 orcs, then a few minutes later discover some kind of weird reverse gravity trap? The orcs didn't put that trap there, obviously, so how does it make sense that it's there? The answer is, who cares why it's there? The megadungeon is more than just a set of rooms linked together. It's a huge world unto itself with as rich and detailed a history as the surface, but that doesn't mean EVERYTHING has to have some sort of reasonable answer. Megadungeons can be hundreds of years old, and used by a variety of entities for a variety of purposes over decades at a time. So, where did that reverse gravity trap come from? Perhaps at one time, it was put in place by a mad wizard who occupied the dungoen, but fell at the hands of an unsuspecting attack by a grell. Or maybe the wizard was taken hostage by a group of drow, and subjugated never to be heard from again. Does it really matter why? Maybe it does, if you want to incorporate the trap into a larger history, but if you just want to throw in an interesting reverse gravity trap for fun, who says you couldn't, or shouldn't, even if it seems out of place? That's what the megadungeon is for; throwing encounters and interesting situations at the players that you might not necessarily be able to get away with in a published module, or mini-dungeon site. Plus, it keeps things interesting for the PCs and keeps them on their toes. Sure there could be kobolds on the other side of that door, or there could be a lethal gas chamber.
It does seem that there should be a "why" to answer how this place came into being in the first place. In Dread Rock, the answer is, it is an old dwarven civilization that mysteriously disappeared centuries ago. During that time, all kinds of things have happened in that place, and not all of them can, or should be, reasonably explained. They just are. Having a history of the place does help create interesting situations for your players, though. For example, in quadrant 1-2 in Dread Rock there will be a point where the PCs can discover an altar with three keyholes with symbols on top. The keys are hidden in various locations throughout the quadrant, and once they find them, and place them in the altar, it opens a secret room where a lot of treasure is stored. Another example being in quadrant 1-3. where the PCs will discover the dwarven throne in the main hall, still encrusted with brilliant gems. How is this possible? Because touching it or attempting to pry the gems out, will put a geas on that player requiring him/her to seek out the lost dwarven lord's battleaxe, hidden somewhere else in the dungeon, to return it to the wall in its proper place in the hall behind the throne. Now, how many other adventurers or creatures may be affected presently by this quest? How many may have died trying to accomplish it? Who knows?
The DM also has to accept the fact that not all parts, or mysteries of the megadungeon will be discovered. It should be a large sprawling complex with areas that may never be explored by the party. Most of the rooms should remain relatively empty, in fact. This heightens the suspense and makes encounters more meaningful and dangerous. The "not knowing" what's lurking down the hall is what makes the exploration fun. That said, the DM has the responsibility to keep the place interesting, and it can be a difficult balance, as going for hours traipsing through rooms that have nothing of value in them can get tiresome. In these moments, random encounters, or odd things in the dungeon can get things moving again. I created a d30 table for these very situations called the dungeon oddities table, which helps bring the place to life. Walking through a hall and seeing a skeletal hand poking out from a wall (the result of a botched teleport spell) helps give the place a life of its own rather than just empty and boring corridor and room after another.
In sum, the megadungeon is a campaign setting. It should be noted up front in agreement between players and GMs. This is not to railroad the players, but rather a respectful way of a) the players saying "we want to commit to doing this thing" and b) the GM saying "I will commit to creating and/or prepping this thing." It should be huge, gonzo at times, dangerous, and interesting. Why things are there isn't as important as the fact that they're simply there for the players to deal with. There shouldn't be one sole purpose or villain in the dungeon, but several things going on simultaneously. Factions, good and bad, vying for survival in a harsh and dangerous world bring the place to life, and that is ultimately what you want to do for your players.