If for example on Grove Bedding's website you have a mega menu and don't want the top link to go anywhere (just using them as headings) then you can use this code on css.
pointer-events: none;
You need to use firebug to view the css selector for the specific link (in Grove Bedding example I used the 'Discover' link under Bed Frames.
This only disables the link on Discover, so you need to repeat the process for 'Shop By Size' etc.