So, I'll preface this with saying that I've only finished the Earth and Moon so far. I've run into places that turned out to be dead-ends and I suspect that future expansions will use these spaces, either inhabiting finished geometry beyond the barriers or using them as attachment points for new spaces. Here's what I know of so far:

Old Russia
-Jovian Complex
The fact that a name pops up but you can't advance is a dead giveaway.
-Rocketyard?
I don't recall that area being accessible, though you can see terrain inside.
-King's Watch
Nothing accessible yet, but it's on the map, soooooo...
-Devil's Lair (western end)
As you head north from the Steppes, you find a high wall on your right before reaching Mothyards. You can jump just high enough to see buildings and open spaces in there, but you can't get in. I think this area was used in the first video we saw with the Fallen walker fight, way back when.
-Forgotten Shore (and possibly the Grotto)
If you venture into the Dry Sea and go past the beached boats, you'll reach that elevated peninsula with the Fallen captain and his gang. If you go into the basement there, you'll find high-level Hive. They're guarding these weird doors that look like big, black squares rotated 45 degrees. One in particular seems to plug the entrance to a tunnel, which has Hive goo coming out around the edges. If you continue beyond the Dry Sea, into an area with level-20 Dregs and a whole mess of Hive, there's a big drainage pipe down by the shore. Inside is another square door. These are the most intriguing possibilities of the bunch, IMO, because the tech-level and style of these plugs doesn't match with the relics of Old Russia. It's more recent. Spooky.

The Moon
-Various surface areas
Not much to say here. Some of the derelict habitats aren't open so maybe these could lead to underground bases or some such.
-Hellmouth
There are dozens and dozens of doors in there that never open, even after exhausting the story missions and strike. It's already huge, but Bungle could just append more and more tunnels to it. The potential is limitless, one of Dinklebot's few observations for which I didn't feel like slapping him.

Feel free to add to this if you've found similar areas of potential on Mars and Venus.