I was just thinking about this a bit. If a megadungeon exists, and especially if it is well known, what kind of fool would actually think that entering it is a good idea? Especially if there are numerous reports of adventuring parties not returning, or only a few returning, who describe all the horrible things that happened to their friends.
Reasons people might enter a megadungeon:
1. They're insane. Megalomaniacal, even.
2. They somehow think that they won't get hurt, when 9 out of 10 people who enter the dungeon die there.
3. They have very powerful cleric friends who will resurrect them.
4. They're archeologists.
5. They're mages looking for a powerful spellbook known to be lost in the dungeon somewhere.
6. They're priests attempted to recover lost relics.
7. They're priests attempting to banish the evil that lives in the dungeon.
8. They've been hired by the local government to clean out the dungeon. And they're megalomaniacal enough to try.
9. They're godlike beings, and can't really be hurt by anything in the dungeon.
10. They're Sensates from the Planes, and just want to experience everything the dungeon can offer.
11. They're sacrifices.
12. They're escapees from something even worse than the dungeon.
13. They like living in dungeons, and think it would make a nice home.
14. They have a fool-proof plan to raid the dungeon without actually having to fight anything. At least, they think it's fool-proof.
15. They enter the dungeon to find a relic located there that will save their spouse or children.