I confess to having a fondness to the D&D concept of the megadungeon, despite their sometimes incomprehensible reasons for existence (the most convincing are that they were built by powerful crazy people).
At first glance, these seem more than a little out of the spirit of Kulthea. However, there is a location that could, in many ways, be considered to be a megadungeon - a large underground complex occupied by various creatures. This is the Ash Lairs, a region that hasn't been covered more than by a few brief mentions. It is also an area I would like to see covered to some extent - although if they were mapped out, they'd probably be the next best thing to an infinite megadungeon.