Megafauna is a rather academic-sounding word which means simply, "large animals," from the Greek mega, meaning "large," and the Latin fauna, meaning "animal." There is no exact definition of precisely which animals fall under this category, but it is generally used to refer to animals that are larger than a human and not generally domesticated.
One common usage of this term is in the concept of "charismatic megafauna," which postulates that humans care far more about these large wild animals than about smaller ones.