I have Castle Zagyg, but I skipped out on Undermountain and the various 2e megadungeons. I played around a bit with Rappan Athuk: The Upper Levels when it came out, but I never really used the entire thing. I've just never been able to justify to myself the existence of such a thing. I love small crypts and stuff like the Catacombs in Paris. But a huge dungeon with seemingless endless levels just seems goofy. I could maybe see it if parts of it are attached via dimensional gates. But having everything stuffed into one mountain is kind of silly to me.
In some ways, I kind of regret this. After reading the Dwimmermount posts on Grognardia, I would actually like to try a megadungeon. I doubt that I would run it very long, especially compared to the amount of preparatory work it would require though. But for those of you who like this stuff, I hope you have fun!