For bigger sites with many features, regular drop-down menus typically hide most of the user’s options. As a result, you can’t visually compare all your choices; you have to rely on short-term memory.
So what?
People have enough on their minds, and messing with short-term memory reduces their ability to accomplish their tasks on your site. Mega-drop-downs let you visually emphasize relationships among items which helps users understand their choices.