One of the things that drew me into the *Souls video games (Demon Souls, Dark Souls) was their use of shortcuts.
For those not familiar with the series, it is a punishing game where even the humblest enemies are a threat. You die and respawn a lot, and every time you do, all the enemies respawn as well. Your range from the spawn point (they are few and far between) is largely determined by your healing potion supply. It can be hard to push just that little bit farther, every encounter is sapping your strength, and you don't know how you'll be able to reach the boss at all, let alone with enough health to prevail.
However, the worlds are heavily Jacquayed. As you progress, you will find ways to open up shortcuts. This lever raises that portcullis near the spawn that seemed impenetrable, allowing you to bypass the first ten minutes of the level. Here, there's a ladder you can drop down, allowing you to climb up the tower directly instead of wending your way through the castle. After opening up a few shortcuts, you can often get from the spawn to the boss in a few minutes, instead of the hour(s) it took you to find and open all the shortcuts.
The biggest thrill in the game isn't finding a new weapon, or more armour, or another healing potion. It's finding these precious shortcuts!
I love this. I think it should be a part of every dungeon larger than half a dozen rooms.
I'd go so far as to say any megadungeon requires the presence of many such shortcuts.
Get your players looking for ways to cut down their time in the dungeon through shortcuts.
