I bought a new Galaxy Mega and it seems nobody has figured out a root method for it yet. Are there devices that have been on the market for more than a few months that are not rootable?
Wikipedia provides a few answers: http://en.wikipedia.org/wiki/Android_rooting
In the past, many manufacturers have tried to make "unrootable" phones with harsher protections (like the Droid X), but they're usually still rootable in some way, shape, or form. There may be no root exploit available for new or recently updated phones, but one is usually available within a few months.
But that's the past.
Only a minority of Android devices lock their bootloaders—and many vendors such as HTC, Sony, Asus and Google explicitly provide the ability to unlock devices, and even replace the operating system entirely.
So shortly speaking, no worries, if there's no root yet, surely there's one to come out soon.