It isn't difficult to find giant databases nowadays, but ChessBase's Mega Database (updated yearly; the 2011 edition is now out) has advantages its bareboned rivals lack. The minor frills are the player encyclopedia (lots of pictures of many players, both contemporary and historical, from across their careers when possible) and the weekly updates (that can be done manually through TWIC and other sources already, though it's designed to be more convenient and efficient with ChessBase); both convenient, neither necessary.
The main selling point for Mega, for me, at least, is the very large number of annotated games - 65,000 in all. People still buy game collections regularly - not unreasonably - but if you think of how many books you'd have to buy to get the same number of annotated games, there's clearly a big advantage to buying Mega. (Additionally, it's a lot easier to scroll through annotations on your computer, rather than having your head half-buried in the book, then constantly resetting the board to where it was at the start of the variations.) Many of the annotated games are of recent vintage, and that makes them very useful for opening study as well. Theme keys help you select games for their tactical or endgame or strategic pluses too, so it's a fine tool for training purposes. So although the one-time price is relatively hefty, its value by volume makes up for it and then some.
More info here.