Have the players roll up a new character sans equipment. I recommend using LotFP for reasons that will be spelled out later, but use whatever you want. Once they're done, they awaken naked (or in weird futuristic gaffer tape underwear) in a a sleeping chamber (or sci fi sleeping pod). Once they figure out how to exit this, assuming the referee is mean enough to not have it open automatically, they find themselves in a seemingly endless maze of corridors and rooms.
The monsters they encounter should be outside of what one would normally encounter in D&D. No goblins or orcs to be found; however, it is important that some of these creatures are intelligent and could be cajoled into trading with the PCs. To make sure these are alien as possible be sure to only reveal their names once a PC has asked them what they call themselves. Other dungeon monsters should refer to them with descriptive titles like "the pallid things" or "those angry midget dudes."
One of the reasons you might want to use LotFP is for its language system. That way your amnesiac characters might dimly remember the language the scaly guys are speaking without having to select it from a predetermined list. Also, since almost all equipment (including spell books and holy symbols!) will have to be gained through foraging or trade, the lack of weapon and armor restrictions should help the magic users and clerics feel a tad more useful. The encumbrance system too will help because it means that characters will have to pick and choose what's important enough to take with them.
The dungeon should be big. No. It should be huge. Enormous. When designing it make sure to make it have lots of interesting specials and factions so that the players won't get bored, but the overall structure shoul seem endless. Also, and this is important, there shouldn't be any exits. The dungeon itself is the campaign setting.
Here are some hypothetical explanations for this:
- Hell or purgatory is a really weird dungeon. You're there now.
- This is the remnants of some crazy-big spaceship that went all metamorphosis alpha in the most D&D way possible.
- Some stupid wizard built it and wants to see how brave heroes from various dimensions work together.
- It's an ark.
- The PCs are part of some past experiment to see what the future will be like a la The Morrow Project or Idiocracy. Turns out it's a dungeon filled with morlocks. Who knew?
One last note: whatever your explanation is, one of the factions should think everyone is in hell. It's just better that way.