Future fusion experiments such as ITER will require multi-megawatt gyrotrons in order to reduce the cost and complexity of an ECR heating system. Preliminary designs of 1-5 MW gyrotron oscillators operating at frequencies relevant to ITER (120-170 GHz) will be presented. Nonlinear theory indicates that high efficiency can be achieved at these power levels, but that highly overmoded cavities will be required. The main obstacles to reaching such powers, such as mode competition, power deposition in the tube, voltage depression, and the need to achieve efficient, single mode emission will be discussed. Recent experimental results at 140 GHz using a two-section cavity will also be presented. The high powers (1.3 MW) and efficiencies (40%) obtained with this cavity indicate that it is a good candidate for multi-megawatt operation.