So Tentpole Megadungeon Play does generally benefit a great deal from making sure you and your Players are on the same page. The first thing I’ll do is frame those expectations:
“Hey everyone, I’m thinking of running a Megadungeon type game, this means we’ll be exploring a vast and dangerous location for a big portion of the game. Usually, both the dangers and rewards are greater the deeper you go, so it might take repeat attempts to fully explore and reveal it’s secrets.”
This framing really helps to make sure that Players have the appropriate expectations about what the game is going to be “about” initially and where the focus is going to be.
Sounds like you’ve got some Mapping/Stocking underway which is great! There is seldom anything swirling with more potential than a big ol’ keyed Dungeon! Dungeons provide a very interesting space in these games: They restrict some choices in favor of making others a bit more interesting or difficult. You are constrained by the Map (unlike with Overland Journeys) which is helpful for Players who are learning the ropes, rules, and general conceits of that kind of Exploration.
I would recommend, even if this is going to be the central focus of Play, to generate some Rumors and Hooks to provide your Players. I usually generate these from the Monsters, Treasures, Traps, Factions, and other Wondrous things that I’ve stocked on the Map! If there’s a big nasty thing on Level 3, then that gets a Rumor, if there’s a Strange Pool on Level 4 that turns people into Fish, that might get a Rumor or Hook (Local Magic User wants some water from it to experiment with!), or if a Powerful Magic Sword was lost by a Previous Adventurer…perhaps someone remembers that happening!
Rumors/Hooks help Players make Informed Choices so I try to shy away from the ones that are outright false, they might be a little distorted or inaccurate, they could even be a bit outdated but there will usually still be a grain of truth to them.
I mention Factions above, and these are another pretty vital feature of a sustained Megadungeon campaign for me: Being able to Ally with or Engage with Groups of Denizens like this can really expand the capabilities of the Players. Remember that Information Currency is pretty powerful in these games, so having some Allies who can tell you “Don’t drink from that Strange Pool unless you want Gills!” is really helpful (and they can also be a source that confirms/elaborates or provides new Rumors/Hooks. They can also provide small “Safe Havens” within the context of the Dungeon, allowing the Players to Rest/Re-Supply, etc. As they go Deeper, these become pretty valuable sometimes.
Of course, making Friends is not without it’s potential downsides: The Red Claw Kobolds are friendly to you, but the Brine Goblins on Level 3 hate them so now that you’re allied, the enemies of your friends become your enemies too. It can be really entertaining and rewarding to juggle all those relationships for the Players!