Megastructures are special buildings, very often copied from the real world (like the Empire State Building, Statue of Liberty, etc.), which, once added to your city, will influence it under different aspects according to its characteristics.
The various Megastructures are presented in the game's blueprints. Blueprints are “construction plans” that, when used in a city, will enable you to start building the relevant MegaStructure. All blueprints are found in the Packs construction menu, and each one is only usable once per city (with some exceptions).
To See a list of all MegaStructures and/or how to obtain the Blueprints please see the Blueprints article.