I think my favorite megastructure is the shell world.

The idea is that you take a geologically "dead" world (no mantle movement / tectonic drift like earth) and start excavating a big underground space, with the aim of adding another 'level' to the world below the surface level (with periodic pillars to hold up the ceiling). The rock from that excavation could then be transported up to the surface to form another level above that (using nanotech assemblers or what have you). Rinse and repeat until you have a bunch of nested shells.

Each 'ceiling' could be covered in a light field that replicates the sky, including sunlight. The spaces would be large enough to have their own weather, so that wouldn't need to be faked. The levels would need to be actively cooled though. So the support pillars would need to have coolant tubes in them and the actual surface would need to be covered in radiators.

Now, imagine a structure like that which has broken down and fallen into disrepair. Some or all of those levels could be dark. A dead ecosystem and ruins of a civilization entombed in an artificial underworld. Or maybe the displays still work in a few places. A few isolated pools of light supporting the last plant life, which herds grazing animals have to migrate between periodically to avoid exhausting their food supply. And ambush predators evolved to wait in the dark until something gets close.