I don't really have big plans for the campaign world outside of a megadungeon existing. Of course, my players could decide that hanging out in dungeons stinks on ice, and wander off in some completely other direction. Which would be entirely fine with me. At this early stage of the campaign, though, they aren't going to be enticed by any flavorful comments I've made about the rest of the game world outside their immediate sphere of influence, so I expect they'll follow the map to the dungeon and start killin'.
That said, why bother having any ideas for the outside campaign world at all? I've got a few answers for that:
a. I'll be better able to "wing it" with wandering monsters, random NPC's, etc. It's a lot easier to keep the campaign coherent if I've got a grab-bag of places, locations, & weird ideas to draw from. No sense fleshing them out until necessary, but having a grab-bag in the first place is a good idea, I think. I'll see how often this is useful in practice.
b. I haven't told the players that there's a megadungeon. I'd prefer they find that out on their own, as the dungeon keeps going deeper. So having some idea of the campaign world and referring to occasionally it keeps the players from immediately figuring out the true nature of what they're doing. I'd prefer that they discover the nature of the megadungeon organically, and then go in because they find what is in there compelling, rather than because there isn't an outside world at all.
c. Eventually the players will want to wander farther afield for some reason or other (perhaps even reasons I plant myself), if they have heard of a few of the place names & concepts of the larger world, they can express interest in particular areas, and then I can pander to those interests
That's why to have a campaign world, in general... but the Thundarr/Zothique thing I've going gives me an extra edge: Easy-to-generate, interesting villains!
The wizards of Thundarr are incredibly compelling villains. There were tons of them (at least one per episode), each of them was a fairly unique freak of nature, and they had nasty attitudes and plenty of smack-talking. So making the villain memorable is incredibly easy, it's a chance to mercilessly taunt the players, and if the villain survives, well, the amount of smack-talk that I lay down should give the players a chance to develop a serious grudge against him.
So, I'm modeling the campaign world very loosely on Thundarr/Zothique. I like the concept of territories ruled by competing wizards, with the bulk of humanity considered just another resource to consume. Up-and-coming wizards would be wandering the ruins, looking for just the right artifact to graft onto their bodies in some horrific manner. The ruling wizards of the city-states would have their automatons patrolling the surrounding lands, looking for humans to enslave and bring back to their decaying fortresses of steel and magic. Hmmm I've just outlined most of my Wandering Monster table there...
Another thing I really like about this setting idea, is that I get to an excuse for NPCs to harass the players as they gain wealth. Their magic-users will already be feared for their wizard powers, and as other players acquire magic weapons (well, super-science more than magic), they too will be treated as wizards - horrendous outcasts, threats to the well-being of all normal human beings. They'll either have the locals kowtowing to them, or tarring and feathering them. I know which behavior I'm inclined towards...