The Megalodon was the largest shark species ever to have lived, and at its time was the largest predator in the seas. It became extinct around 1.5 millions years ago, although there have been supposed sightings of them recently. Whether they are actually extinct or not is a matter of debate, although most of the evidence would seem to strongly suggest that they are no longer around.
Megalodon resembled bigger versions of the great white shark, today's largest and most voracious predatory shark species. As such they filled a similar role in the ecosystem, and probably had a similar hunting method to that which great whites use today. Because of this if they were still around, then they would probably be filling the niche in the food chain that great whites are, and so would be seen regularly in established territories and breeding grounds.
It is true that the seas are not very well explored, particularly the deepest parts and the middle of the oceans. However the fact that the great white, and almost certainly the Megalodon, are both shallow water species means that there would be very little chance of finding them in some dark depth of the ocean. Deep water shark species are completely different from shallow water species, and have evolved separately for million of years to adapt to the depths.
Megalodons and the like simply did not have enough time to adapt to the changing conditions of the seas before they became extinct. Their size, shape and activity levels would have meant that dwelling in the depths is extremely unlikely. Deep water sharks tend to be sluggish and slow moving, often being scavengers rather than active hunters. Oceanic and coastal sharks such as the Megalodon on the other hand are fast moving and are active hunters, making them prominent and regularly encountered by humans.
There have been lots of sightings of huge sharks in many areas of the world, although for the most part these have tended to be in hot spots for great white activity. A very large great white can often be mistaken for something even larger, and the close resemblance between the two species means that mistakes are even easier. The fact remains however that because of the size of them, they would have been caught by now if they were still alive.
Also the difference between a large great white and an actual Megalodon is quite substantial, and at around 60 feet long, no great white can come close. Great whites at their largest reach around 6 meters, although might look larger in the water and from a distance. To see something 60 feet long in the water from a distance would make it seem even larger, approaching the size of a whale, which would certainly not remain elusive for long even in the ocean.
Like many larger species both on land and in the seas, the Megalodon likely died out as a result of cooling of the seas during the ice age that began around 5 million years ago. Several of their prey species also became extinct at this time, and they themselves likely had to cluster around the remaining warm areas of the ocean, reducing their numbers further. As migratory patterns changed, whales, better able to cope with cold temperatures due to being mammals and having blubber, could stay in seas too cold for megalodons, eventually sealing their fate.
Even today, the only kinds of prey that could sustain a population of Megalodons would be whales or the largest of fish. Whales would also still be able to easily avoid Megalodons by simply sticking to colder waters where they could not follow. The idea of them still being out there in the seas quickly falls apart when it becomes apparent that there is insufficient prey to sustain them. People who do insist that they have seen one have likely simply watched one too many Jaws movies, however the fact remains that the Megalodon, like other predators of antiquity, is long extinct.