From Lexicanum

Shrine Worlds are worlds devoted to a Saint of the Imperium and are often named in their honor. These worlds attract huge amounts of pilgrims from all over the Imperium. A shrine world usually falls into an actual category - for example Hagia is an agri world while Herodor is a hive world. They have a strong relationship with the saint in question, such as being the world of his or her birth or martyrdom.

Notable Shrine Worlds

• Hagia
• Herodor
• Macharia
• Ophelia VII
• Sanctus Lys
• Terra

Worlds of the Galaxy
Imperium	Adeptus Astartes Homeworld • Agri World • Cardinal World • Civilised World • Dead World • Death World • Desert World • Feral World • Feudal World • Forge World • Hive World • Ice World • Industrial World • Jungle World • Mining World • Ocean World • Paradise World • Penal World • Research Station • Shrine World
Xeno	Xenos World • Daemon World • Exodite World • Tomb World • Maiden World • Crone World • Ork World • Tau Empire • Craftworld

Sources

• Black Industries Warhammer 40,000 Roleplay site
• Gaunt's Ghosts series