Right from the start, I knew Felltower would have gates.
My main reason for this was simple - even a gigantic megadungeon can't contain everything I wanted to include.
In more detail:
Gates make great attachment points. If I do want my players to explore White Plume Mountain or delve into the dark forests of Tanara or dump them near Freeport, I put in a gate to them. I can fit any published material anywhere in my dungeon - even just by retconning in a secret door or an intermittent or moving gate into some room. Anything can go to Felltower - heck, maybe Felltower is the far end of one of those gates in Q1 Queen of the Demonweb Pits. Which means the PCs can go there, too.
Limited Sandbox Expansion
One of the lessons I learned from video games (besides, don't die with unexpended ammo and save early and often) is expanding access as you play. You show up in Vice City and storms have taken out half of the city's access until you do some initial missions. That keeps you from getting distracted by the amount of things to do elsewhere until you've gotten your feet wet. Borderlands 2 puts you on rails for one area and then briefly in a second before slowly expanding your options. Betrayal At Krondor would open and close off areas depending on your mission (sometimes with odd results). The most open games, like Darklands or Bard's Tale, just have costs associated with running around too much before you're really ready for them. For all of them, once you open an area it's generally yours to return to.
Gates provide a useful way to do this. They open, they close. They have keys. They appear on the moon phase. They aren't subject to the normal access of doors or tunnels. There is risk involved in using them even when they are totally reliable.
In other words, I can expand the scope of my sandbox as needed. If I want more access to, say, the Cold Fens or the Lost City of D'Abo, I just put in a gate to them and make it more reliably usable. If I need a desert setting I can put a gate to that. I can make them one-offs or places of regular accessibility depending on how I want the sandbox to expand.
Space doesn't matter, either! Any size area can hold a gate, so even a small dead-end can lead to a whole world.
This is the whole "X orcs have Y females and Z young" deal. If every single monster in the dungeon isn't merely spawning from the darkness, how did they get there? Gates provide an excellent explanation. Dragged in from elsewhere in the world, wandered into a gate, in transit ("We'll use the Felltower Gate, walk to the Gate to Hell, and bypass the angelic guardians that lurk at the Erewhon Gate."), whatever. Anything that could fit into the dungeon could have found a gate to match it. One-way gates and teleport traps (related) also do the trick.
This is why the joke we have about how our torc grenades in Gamma World actually teleport everyone to Felltower amuses us. It could be true. Maybe "disintegration" actually means "no longer in this world." And it explains, quite easily, how it all comes to be, without having to put in a long tunnel to the troll lands or a river that leads to the fish-men depths or having the Eye of Death village close enough to explain why they show up.
I can also put in different rules. No, not "this area is class-and-level" but "this area has different physics" or "has different rules of magic." I can try out places with lower gravity (Barsoom!) or different time rates (You are also hasted, or slowed, here), whatever. I can play with time - you can go forwards or backwards in time if I so choose. I can put in a high-tech world. A lower-tech one. A place where reality is inverted and everyone has a goatee and is an evil version of him or herself (or a goatee-less version of Hasdrubel!) It's simply all available.
I'm not saying this is all there - just that I can. I can do anything, and contain it in a gate-accessible area means it need not bleed into my game unless we decide it's a good thing that it does.
At the same time, I can leave much of this up to the PCs. Use the gate or not. Choose to go in or not. Often, come right back when you realize you don't like it there or it's not fun. Go when you want to. By giving them access to spells to find and control gates to a degree, the PCs don't have to go in blind nor just blunder into them. If they like gates, they can seek them out.
But with limits - as the GM I can say no, I can say stay for a while longer, I can say yes but you can't bring it all back.
All in all, this is why Felltower has gates. Short version? Gates are awesome.