The OED and Merriam-Webster's Collegiate Dictionary (11th ed.) both list megacity, defined by MW as a megalopolis. The OED doesn't define it--it just lists it among a bunch of words that begin with mega-. As noted in the "about me" thing in the left-hand margin, I sometimes have opinions about stuff nobody cares about. And this is one of those times. To me, megacity looks like it should be pronounced /mɜg'æsəɾi/ (I based this on the OED's pronunciation for mendacity, except that OED uses a /d/ instead of a /ɾ/; I guess nobody ever told them about postalveolar flaps). So what? So I think it should be hyphenated (mega-city) for the sake of clarity, that's what.
We could force the issue by making up and popularizing a word megacity that rhymes with mendacity.
Thank you for your attention.