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I recently added a megadungeon to my campaign but it isn't in the campaign world itself.  It is in the plane of limbo.  It is an abandoned city of a species that had created a number of portals throughout the multiverse to various planets and places of power.  Actually, abandoned isn't the right word.  The beings that built it were wiped out in a genocide perpetrated by their slaves. They travelled the planes taking slaves and gold and magic items and then retreated back through their portals when the going got rough.  They were more or less Melnibonians.  The slaves eventually revolted and wiped out their masters entire race.  They collected all the loot and magic items and piled it in the central square of the city.  Since it had been collected  constantly for centuries there was a lot of it and it would take years to carry it all out.  The slaves packed up as much loot as they could carry and left using the various portals into the prime material plane their masters had used to get resources and wealth. Because the masters were no longer maintaining the city, it started to become dangerous to travel within its halls.  Limbo being a sort of primordial soup of chaos is constantly changing unless some being controls a space and uses some means to maintain its solidity (Zelazny's Chaos from the Amber books) Because of the concentration and magnitude of the magic that had held the city together in the swirling chaos of limbo, the city is degrading but at a very slow rate.  Certain parts of the city change randomly as you move through them.  Go down a passage and the passage changes as soon as you step out of it.  Other parts have creatures from the prime material plane that have accidentally come across one of the portals the ancients made and were sucked into Limbo.  A few planar travelers  have become aware of the place and occasionally come into it to dip into that big pile of loot.  The effect of the chaos in limbo causes the occasional wanderer to be horribly mutated or for strange chaos creatures to simply be spawned out of the primordial power of Limbo.  (This is a good place to use the random esoteric creature generator).   There are a number of functional portals that lead to many worlds in the prime material plane so some very powerful mortals use it as a way to get to and from the outer planes or on business between worlds of the prime material plane.   Because of the chaos element I can use it make up any kind of crazy shit I want and it is internally consistent.

The characters were informed of the place because they needed to get someplace on an errand for someone else.  They needed to use a portal in the city and had to travel to it using a map they were given that was some what incomplete.  They are a bit cowed by the joint though because they aren't sure they want to be messing around in Limbo.