Mega threads are basiclly combining all sorts of different things that relate into one thread instead of having to manage multiple.
For example, the item price check mega thread. Instead of having a force price check thread, or a texture price check thread, you combine all of those into one thread to check all prices.
Also, for a market mega thread. You're combining selling, buying, trading, and marketing so you don't have to manage multiple threads.
Mega thread is just a combination of multiple different threads, making it easier to manage, however not always the best way to go. Like in the market, if you have a mega thread you can only have one thread. If you have a buying thread and seperate selling threads to quickly sell off your items after buying them, it will be much easier to make profit, just a tad harder to manage.