I have a player interested in making a character from a Fortress World, and he's asking what Fortress Worlds exist in the neighboring Calixis Sector and what enemies they were fortified to defend against. This also got me wondering what enemies fortress worlds are typically useful against.
Orks - Orks hold areas of space and thus it is sometimes possible to predict their likely paths of attack. Just as likely, by placing a Fortress World in their sights, Orks may alter their path to attack it. The Fortress World also makes a fine staging point for attacks against the Orks. This seems like a solid choice.
Eldar - Eldar are difficult to find and pretty rare. They attack unpredictably, so the only real time I see a Fortress World being built up against the Eldar would be if it's actually a Maiden World that the Imperium was (un)fortunate enough to fortify before the Eldar came to reclaim it. This seems an unlikely choice.
Tau/Tyranids/Necrons - Not really present on this side of the warp gate or in this time, so not a viable choice.
Pirates - A fortified bastion from which to defend against piracy might work. It would primarily exist for launching raids against pirates since it would be pretty foolish for most pirate bands to attack a fortress world.
Chaos - A broad category. Should this be more limited, like Chaos Space Marines vs Chaos Renegades vs Chaos Cultists, or is just Chaos enough? Regardless, we know these exist along the Eye of Terror, and it's quite possible that some exist along the local Warp Storms too. Another solid choice.
Mutants - I'm not really seeing an entire Fortress World devoted to anti-mutant activities. The fact that mutants are everywhere and yet don't (typically) organize to fight in set areas makes this a real longshot. However, see the next one (Criminals) and it could develop from the same lines...
Criminals - An Adeptus Arbites Fortress World? Maybe one with nearby Penal Worlds under its jurisdiction? Hope you can take Common Lore (Adeptus Arbites) and perhaps even Scholastic Lore (Judgement) as elite advances if you really want to take this route.
Psykers - A really outside choice. An entire world devoted to anti-psykers? Is it an Inquisition-run planet?
Rogue Trader (specific) - Not really seeing this myself. A renegade Rogue Trader is likely either a Pirate or Chaos (by the renegade path), so those are likely better options.
Xenos (specific) - Are there other lesser xenos that require Fortress Worlds to be developed to counter them?