Another idea that I've been toying with, for megadungeon purposes, is making something that connects to a lot of different places. Maybe even a lot of different times. Either there are portals within it, or there are alternate stairs up that lead to different places than the one you went down, but the basic idea is, you can go into the megadungeon, come out in a different place, and have some wilderness/city adventure wherever it is you've come up.
Like my sewer/city ideas, I'm wary about creating way too much work for myself. If I'm running a megadungeon, why should I be spending my prep time working up a bunch of different wilderness areas? I'd risk creating a game that mostly takes place above ground, with the megadungeon itself used for travel or side tracks.
But then I start thinking about the possibilities. What if, either by design or natural occurrence, the large, well-appointed tombs of powerful people physical connect to the Netherworld? What if the megadungeon is the structure of the world, and connects to the normal world at key anchor points? What if those anchor points are a set of artifacts, which the players can remove for their own use, at the risk of seriously futzing with the structure of the universe?
Ultimately, the idea is just an attempt to avoid "limiting" myself. Which is ridiculous, but it's an urge I get some time. "I can't decide which setting to use, so I'll just use all of them!" Bad idea, but I keep having it.
I'll probably just keep the idea up my sleeve for when I need an interesting sublevel or something. Make the secondary entrance a source of weirdness entering the dungeon, rather than primarily a location in itself.