I used to quite dislike & never use them - I'm a bit claustrophobic IRL and I hate the idea of being stuck in a dungeon for a whole campaign. I still don't much like the idea that "the dungeon IS the campaign" - I like a lot of wilderness exploration and politics/war. But I've come to really appreciate the power of what James Maliszweski called the "tentpole megadungeon" as default activity in a sandbox campaign - it's always there, it always offers adventure, risk & reward. Neither players nor GM need ever be stuck for what to do now - the dungeon always beckons.
Justin Alexander discussed the importance of a default activity in a long term RPG, and I find it's extremely true. It takes a lot of pressure off the GM to come up with plots; it takes pressure off the players to 'find the fun' - if they're not sure what to do now, they go to the megadungeon.
The design with stacked levels suitable for PCs from 1st to say 10th level also works well; giving players a lot of choice in the threat level they choose to face, and allowing for smaller & larger PC groups - eg 2 3rd level PCs may choose to stay on level 1, where 6 PCs might go to level 3 or 4. This works best with gold for xp & more gold on lower levels, though killing bigger monsters on lower levels also gives more XP. DMDavid just posted a good discussion - http://dmdavid.com/tag/the-story-of-...they-can-beat/
So currently my ideal sandbox game has a detailed wilderness with multiple seeded dungeons and at least one megadungeon within a half day of the starter town. My Ghinarian Hills Wilderlands sandbox actually has three big dungeons (Dyson's Delve, Caverns of Thracia, Stonehell) within 8 miles or so of the starter town Selatine.
I find you can't have too many megadungeons.
http://www.therpgsite.com/showthread.php?37808-What-do-you-like-about-megadungeons
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