Yesterday I said you don't need a map for your megadungeon world. That's even if your outside world affects the megadungeon and the megadungeon affects the outside world.
But I'm not oppose to maps. In fact, I love maps. I have lots of them myself. I filled in a hex map by hand, with pencils and colored pencils, instead of paying attention in science class in High School. I pretty much picked the Forgotten Realms for one game because it had very usable maps, and the Known Worlds (aka Mystara) for the same reason when I wanted a complete break with my FR game's history.
I did old-style graph paper maps for my dungeon, 10' to the square, because I like maps.
But then I go and do this sort of sketch map for my DF game:
That's the entire world map I have.
And I'm running my Lost City games with a wilderness component with no map at all.
This is because the game won't really go beyond that area in a way that requires a map.
Essentially, you don't want to do work you'll never need.
But it's still worth doing so if certain situations apply:
I'll use it later.
If your megadungeon game will eventually grow out into a world-spanning game, a world map can be useful. You don't need it to start, but you might want it later.
You also may want to make your megadungeon game the basis of a larger series of games. Maybe this game spends 90% of its sessions underground in 10' x 10' corridors. But the canon you build up can be part of the history of a later campaign, with different characters or even different players. Putting some cumulative time into defining and mapping the world isn't a waste in those cases. You're laying the groundwork for future campaigns.
You certainly don't need the entire world - Greyhawk's map is pretty big, and yet it's a fraction of the globe. So even "complete world" generally means "big enough for large adventures" and that's it.
You don't need to do it all at once - stick to "just enough to get the job done" and you'll be happy. Better to have a vague, small map than a specific, large one. The former takes less time and is more flexible in play.
I need it for my own sake, right now.
Another good reason for a map. Some people are so visual that without a map they really can't operate. Some people just prefer having one. And some people (I'm one) don't know what they are visualizing exactly until they see it on paper - draw it, see it's not what you envisioned, and fix it iteratively.
Again, though, I'd recommend against overdoing it. I hear more people starting giant campaigns with great detail that die off after a few sessions than of people doing the same with long-running results. Get enough to go on, to satisfy your need to see what the world is like, and then get playing. Fill it in as the world fills out in play.
Like I said yesterday - it's about not spending time on things until you need them. But that's not to say you'll never need them, or that time spent now to save time later (even several campaigns laters!) is a bad thing.