The recent discussions here about lower-point DF delvers, why they're 250 points, etc. have made me think about my experience with PCs starting at 250 points.
All of the PCs in my game start at 250 points.
Our highest point PCs are two of the oldest active PCs - Dryst (399 points + 18 saved) and Vryce (478 points + 8 saved). Honus Honusson is older, but the player isn't very active thanks to his career and distance from game.
Our lowest point ones are floating right around 250 points.
Here are some things I learned. I've left out the obvious ones, like "combat is always risky in GURPS" and "magic is really useful!" and "don't fight when you can't win." Those seem more self-explanatory than the things I've learned and written about below.
Power Level Mix
The power level mix isn't such a big deal, at least as long as you are 250 points. The 125 point allies and NPCs have a hard time of it. They're either good at what they do or okay at a lot of things. They are never both - you can't have a 125 point healer NPC who is a good healer and a good backup fighter. Not against the threats of anything that would threaten a 125 point combatant, anyway. The 250s are okay - you're always sufficiently good at your job that you can step in and do it, even if someone else does it better. Witness, say, Vryce side-by-side with Hjalmarr. Vryce is vastly better as a combatant, but that just means he kills more of the enemy, not that Hjalmarr is really vulnerable per se.
62 point NPCs are fodder. Even if you like that fodder a lot, and spent a lot of money on gear, they're fodder just like a 35 point character would be in a 150 point centered game. Some of that is how I scale things - a fodder orc in my game is 62 + the orc template, so a 62 point human is slightly behind the power curve. It also keeps the PCs front and center because threats are aimed at where they start, not normal humans.
Potentially someone could run a 125 point PC in my games, but I'd certainly give the player two characters to replace the one as I advised in DF15.
One thing you might not expect with 250+ pointers is the resource drain. There really is never enough of anything - not enough healing potions, magic power, paut, consumable attack and utility items, hirelings, PCs on the fighting line, etc. Even savagely one-sided victories have a draining effect and force you to rest a bit to recover your FP. In a megadungeon, this is a very big issue.
One good thing about this is that it seems to match the old style megadungeon play I've read about. It's better to avoid threats, husband resources, have goals and missions in mind for a session, etc. But the dangerous nature of GURPS combat and the resource costs of magic - and the time to undo the losses of combat - means 250 point guys (even nearly 500 point guys!) suffer from the attrition effects of dungeon delving.
Also - and I think this is a very good thing - special purpose consumables aren't as good as dedicated weaponry and dedicated attacks. Alchemist's fire and ice grenades and poison gas bombs and poison in general are useful additions, but don't overshadow actual attacks. Magic items are useful but a wizard is better, and a warrior can deal more damage than most wizard's spells. So you need a lot of them to get the job done - a PC focused on the task generally does things better than a tool or a spell. Unless the task is really only solvable with the tool or spell.
In any case, anything you do costs resources, and even the larger pools of them available to 250 point PCs don't feel that large in a megadungeon. They drain more steadily than I recall HP, spells, and so on draining in my AD&D games, and they are even more subject to sudden and complete loss. At a lower point level, you'd need to reduce the threats (and in my experience from my previous game, the number of threats encountered) to keep attrition from wearing down the group before to a potentially frustrating extent.
Threat Type Matters
Depending on the mix of PCs, what kind of threat affects how threatening it is. For example, fodder foes without shields or high Dodge scores are easily mown down by Scouts, but less so by single-large-attack fighters like Barbarians. Strongly magic resistant foes make it tricky to deal with them via area spells from Wizards and Clerics, but no one else cares. Undead are a horrifying threat unless you've got a Holy Warrior or Cleric with True Faith around, then they're heavily penalized or just eliminated as a threat. Missile-carrying fodder are a serious threat to a large party that doesn't have shields or their own effective ranged attacks.
And so on, and so on.
The threat type matters even more than the threat level. If you've got a bunch of mirrored shields and Blind Fighting, medusas aren't that scary. If you've got Resistant to Disease, you're not worried by the otyugh's nasty swipe or the komodo dragon's filthy mouth. If you lack these things, then those threats are quite serious.
All of this is given a basic minimum level of threat, of course. A 1d-2 arrow isn't a big deal to a knight in plate, even if it's got a piercing tip or aimed at chinks in armor. You've got to at least potentially be able to harm the PCs through their gear. Once that's done, I find that a 6d sword attack is substantially less scary than a poison you can't defend against or a 2d attack that crushes your active defense levels by -5 or more thanks to its terrific speed.
Overkill is often wasted, but sometimes needed
It's very useful to have extreme amounts of skill or power, for dealing with foes you can't deal with otherwise. Those DR 17 guys are still DR 9 when you hit their armor's weak points, and that means you need to bring at least 10 potential damage to the table to matter.
But once you're tough enough to reduce a foe to fodder despite situational modifiers, and/or kill them in a single blow no matter how badly you roll damage, it's wasted. Once you're Parrying at 16 even after a couple of successive defense rolls, extra doesn't matter.
What this means is it's possible to benefit from, say, Axe/Mace-28 or getting from 3d+13 to 4d+15 thanks to a ST jump, but much of time it won't matter. Dead is dead. Same with layering defense over defense over defense, where you've over-patched until you're paying points for little to no actual effect.
This matters mostly because of the resource drain, above. It also matters for threat type - if you're the best straight-up swordsman ever but suck against missiles and magic, you're going to be worried more by those threats. If you try to get good at everything, you might never be tough enough to deal with the really big threats. It's a balancing act, and there are never enough points to do everything. Or even most of what you'd like to do.