I have realized a mega menu with images.
Look at http://solidforms.de under menu point “Dienstleistungen”.
How did I do it?
1. Upload the image into the media library.
2. Concatenate the link to the image together with the menu title as “Mega column title”
<img src='http://solidforms.de/..../wp-content/uploads/.../.../image.png' />Consulting & Projektmanagement'