Thinking about my only megadungeon-like experience as a player (the never-ending Temple of Elemental Evil), I find that if one makes the megadungeon the only and lonely feature of his or her campaign the probability for players to feel rail-roaded rather than involved is likely to become pretty high.
I find that it's fairly important to insert a bunch of hot spots other than the megadungeon itself into the campaign. Something like places or encounters that are fairly short to play through (about three to five game sessions or thereabouts) for the players to explore and 1) take a break from the big crawl and 2) feel like they have freedom of choice. Of course, you have to be aware that your players may not be willing to return to the megadungeon itself. The only way to avoid this, I think, is to make it clear that only the megadungeon holds the big loot, which can be an important and rewarding target, as well as an über-powerful artifact/magic item.
Another really important thing is the safe town. When playing in The Temple of Elemental Evil we experienced tons of problems with the village of Nulb: I don't know if the module itself was set up in order to avoid having players return to Hommlet (never read through it), but our DM tended to glower at us whenever someone suggested we spend a couple of days in a safe town. This made the entire quest a lot more hard – you can't just risk your life to explore a place, then return to the tavern and risk your life because the safe spot is a village packed full of pirates who only wait for the opportunity to disembowel you. Even more so if the players can't even make the village safe (when we killed the pirate's chief and destroyed their ship, they eventually returned with reinforcements).
So, the key elements are: The Megadungeon, The Safe Town and A Bunch of Interesting Spots and Encounters. At least, that is how I see the issue.
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