One common theme is his growth as a sorcerer. Many fanfics focus on how he hones his skills and becomes stronger. Another theme is his relationships, like his friendship with Yuji or his complex connection with the Zenin family.
There's a fanfic called 'Megumi Fushiguro: A Different Path'. In this, the author takes Megumi on a completely different adventure from the original story line. It's really interesting to see how his character develops in this new scenario. Also, 'Megumi's Hidden Powers' is a fanfic that uncovers some potential powers that Megumi could have, which makes for an exciting read.