The MM (megalomaniac for lazy typists like yours truly) can have a lot of different ambitions but there is one at the center of their being: Power. Power derives from control. Control over one's self, control over others, control over the environment or politics. The MM seeks control in any number of ways. Some, such as Kang the Conqueror (speaking of Marvel) seek control through conquest. Some, like Lex Luthor, use politics and personal persuasion. Some, like Adolph Hitler, use a combination of both: politics to rally a force behind you, force to sweep away those who would stand in your way.
MM's make good villains because they're easy for a GM to predict. Even if their designs are sneaky and the players haven't caught on, when you don't know precisely what your villain would do in a given situation, you can fall back on the control issue. Whatever gives them more control is the preferential action. Whether that control is immediate or developed over time depends on how foresighted you want your villain to be (MM's do not have to be brilliant, just compelling.)
MM's can make problem villains because of their tendency to refuse to give up. While some might feign surrender in order to stall for time, very rarely do their concede the battle altogether. Like the zealot (Many MM's could be considered zealots for themselves), they generally have to be put down. On the other hand, this can make for a truly wonderful RP device: the recurring villain, who returns to plague the heroes again and again, simply refusing to admit defeat.
COMICS - I know of no comic book villain who fits the MM stereotype better than Dr. Doom. Doom has a leg up in that he's conquered both Earth and the Universe before, though like any good villain, he lost both those conquests. He and his soulmate, Kang, represent some of the best of an MM villain: Brilliant, driven, and compelling. A good MM can get even your players questioning their ability to defeat their nemesis simply through their own seemingly infinite self-confidence.
RPG - 7th Sea's Giovanni Villanova. When your born in a nation where power politics goes hand in hand with assassination, it's an adapt or die kind of situation. Out of this political darwinism came Giovanni, who killed his father and uncle to take over one of the seven major families of the nation of Vodacce. Villanova is driven toward his goal of ruling his country, but his ambitions hardly stop there. Again, his confidence, as well as his involvement in myriad plots all across Theah make him both a compelling and a useful villain, as well as demonstrating a strength of the MM: Expansive Machiavellian plots allow for even young characters to get involved with an MM's plans, while building them up to the point when they can face the arch-villain directly in the story's climax.
Home-Brewed: A Scorpion Courtier by the name of Shosuro Omi, housed in the Legend of the Five Rings setting. Omi's megalomania was driven more by ego than anything else: he believed he could make just about anyone do just about anything and, at the time of his death, he wasn't far off the mark. Though Omi was actually a cousin of the MM: the Puppet-master (who uses minions to do his dirty work and blackmail to acquire new minions), he still had the principle qualifier for the MM moniker: ambition.