The Megalodon is a giant Great White Shark that spawns in deeper ocean waters. Though it only usually has around 1k health, it does a considerable amount of damage.
Drops:
Megalodon tooth - Used for crafting.
Shark Fin - Used for Shark Fin Soup.
Location:
Anywhere in waters deep enough to fit it. Since its block model is so huge, it is nearly impossible for your pets to hit it unless they're using ranged attacks.