This was inspired by Beedo's post about needing a map for his megadungeon-as-crux-of-the-world game of Dwimmermount.
Basically, he wants/expects the events in his megadungeon to have world-affecting ramifications, such as wars and so on. So he needs a map of the world, right?
My response boils down to, not really.
You don't need to map what you don't need.
Unless the PCs are going to go to a place on the map, and unless the map is necessary for such a trip, you don't really need it. It's nice to have, I suppose, although what you define limits you - it's the canon conundrum. The more canon, the more answers you have ready, but the more you need to keep in mind when creating more or answering questions. What is defined limits you.
You want your campaign world to be complete, but that doesn't mean "has all possible details." Remember that "complete" means, in part, "having all necessary parts, elements, or steps". Necessary. Things you don't actually need to play the adventures at hand are just extras. You can have a complete megadungeon-based and megadungeon-driven gameworld without mapping the world that is affected by the dungeon. You just need those parts that will come up in play.
But what if things in the far-off land affect the megadungeon (or limited sandbox / bounded adventure area, or other campaign area definition)? All you really need to know is how and why. If a war breaks out between North Valmont and the Empire of Madeupicus, so what? Unless either the player characters are going to those locations or folks from there are coming after the player characters or coming to the dungeon.
What if stuff done in the dungeon affects the outside world? Maybe that war happened becasue you found the Lost Crown of the Empire in the dungeons in that pink slime choked 10' x 10' room on level 2. Well, unless the players are going to that war, you still don't need much of a map. Or more than "this sparked a war in the far West, beyond the Plains of Aramore and still even beyond the Dust Dunes of Kawaku." Again, if the players are expected to go, you might want a map. If they'll direct the armies, you'll need one. Otherwise, roll 1d6 and give the side the PCs hand off the crown to a +1 to the roll, higher roll wins the war, tie is a stalemate. Done. Now back to counting torches and finding a way down to level 3. You'll soon enough meet victorious wandering fighters and defeated folks who can't go back home in the streets of the Megadungeon Town, looking to join or oppose your crew of adventurers.
Check out what I said about the bounded adventure area - if the players know the real adventure is in the dungeon, they'll stay in the dungeon. If they ask to go abroad, is it because you made abroad more attractive than the dungeon? Do they just want a change? More on that below.
Sometimes players can push for a map, though, even when it's not necessary.
So ask them.
Why do you want a map? If the players are insisting on a map, find out why. What is it about the map that they except to want or need?
Sometimes you have to keep probing. I learned this as a trainer - ask questions like a two-year old. Why? Why? Why? Why do you want to do X? Because I want result Y. Why do you want Y? Because if I get Y I'll also get Z. Now we've gotten somewhere - you don't want to do X, you just want Z. Let's go get Z.
In a megadungeon, often "go somewhere else" is a sign the players want something the dungeon isn't giving them. Find out what it is and stick it in there, or explain how it is already.
They won't play without a world map.
Some alternatives, though, for players who just have to have a map.
You come from it, you map it. Give the player the description of the location that you have in your notes (whether you wrote them or got them from a published source.) Tell the player to draw the map and provide the description.
You can do the vague outlines, if it's really necessary. But otherwise go all early Greyhawk on them and parcel out the land. You're from East McGinty? Map it. Tell me about it. I'm the GM but I don't know what "homeland" you have in your head.
This is especially true if the player has a character concept in mind. "I'm an Amazon from the jungles in the southern part of the Kingdom of Talmus." Okay, great, there are jungles in southern Talmus. There is much more chance of that being true if the player maps it than if you do. You don't want to hand them the map and have them say, "Gee, I wanted to be a jungle Amazon . . . " Detail restricts!
Rough sketch. Like it says. Do a rough sketch. Don't fill anything in that doesn't absolutely need to be on it. Don't go overboard. Don't make work for yourself until your megadungeon game is now a world-traveling game that happens to have a megadungeon in it.
All of this boils down to - don't make extra work for yourself. Don't end up telling stories that end with, ". . . but they never ended up going there." This is especially true if you're using someone else's material - plow your extra prep time into digesting and adjusting what's there, not making up a world you might never need.
(And if you want to map it anyway . . . )