Nids sure don't. The cheapest HQ is another box of warriors. Hive tryant 60 bucks. Trivigon 60 bucks. Parasite is another box of warriors, flying base, and wings. Swarmlord is a hive tyrant plus time or boneswords direct order (if you can.plus most armys have a HQ option you can pick up for less than £12
I am pretty sure there is no nid mega force... there may be ones in other armies. I think I saw an ork one awhile ago.