I've run a megadungeon for one-off sessions. Obviously making a megadungeon for just one session like that is a bit of a waste of time, but it can work really well if the players know that you've used or are planning to use the dungeon for other groups. I've had players get really into changing things and leaving little messages for other groups, once they realized that at least some of their changes would "stick."
You do want to create a sense of "completion" to the session, but it's not necessary for the players to be able to explore the entire thing in order to get that sense. I've found that, depending on the players, one-offs in particular work really well if most or all of the party dies at the end, which creates closure pretty neatly. Otherwise, you'll probably want to run it at least as long as it takes for them to decide they've got enough treasure or taken enough damage for one expedition, and return to the surface.
It also helps in a short game if you can give them a bit of a sense of having solved a small mystery about the place. "Figuring the place out" is at the core of a good megadungeon game. In a longer-running campaign it's enough to hint at a mystery that then gets solved several sessions later, but if that group if players isn't likely to return to it again then you don't get much benefit out of handing them a mystery that's completely unsolvable before the end of the session. On the other hand, if you're trying to talk them, or some of them, into returning for a longer campaign, a bit of mystery might be just the thing to convince them.
I also played in a session like the one you're describing at GenCon. (In Castle of the Mad Archcmage, in fact.) The DM wrote a recap of the session up on his blog, which you might find interesting and/or useful.