Yes it will work with the Laguna Tunerlist, as it worked with your original Megane Tunerlist.
It uses a blue 8 pin mini iso connector for the changer on both radio's, interface is the same.
If your upgrading to the Laguna Tunerlist unit, you will need a frame to fill up the small gap around the radio front as the Laguna front is slightly smaller than the Megane radio front.
In fact, the Laguna front has a standard DIN size, so any radio frame for a standard DIN sized radio will work. I bought my frame (you can also see it on the picture) for a couple of pounds on eBay.
For example:
https://cgi.ebay.nl/Renault-Megane-02-on ... dZViewItem
I strongly advise to invest in some proper speakers when you want to get the best out of any radio in your Megane. This has a dramatic effect on the sound quality.
The standard factory speakers are worthless, made out of paper.

I've changed both the front and rears with Pioneers (as have a lot of other forum users

).
My speakers:
Front: Pioneer TS-Q131C (plug and play with special Renault connectors)
Back: Pioneer TS-E1396 (but another option is the TS-E1376 which are slightly cheaper)

Megane II 5D-Hatch 2003 * 2.0 16V Autom. Dynamique * Gris Boreal
17" Steppe * Leather * RS front grilles
Xenon + 5LED side lights * Clear side indicators * Ph. 2 rear lights
Cabasse Tunerlist * Pioneer TS-Q131C/TS-E1396 * Ice>Link Plus + iPod