I quiet like thrall worlds. I have used them for 2 purposes:
-quickly grow a slave laborforce on a planet with lots of possible mineraldistricts, remove thrallworld when there are enough slaves, to get the 'mining world' bonus and build the mineral bonus building.
-permanent on some lesser rural worlds, worlds with low max districts but enough possible resourcedistricts to fill them all, but not really specialised into 1 resource. I first build it up a bit till I have build the mineral building, since it isn't removed upon making it a thrall-world, it is only impossible to build after turning it into a thrallworld. so eventually this planet only loses out on the 'rural world' bonus, but in return for that it guarantees growth of slaves(so I don't have to force population growth, makes managing my overal empire population easier), and slaves that grow past the cap of jobs just turn into toilers, not creating unemployment issues. and then later those toilers can be shipped to a new eucumenopolis to work as clerks for example. so it reduces (micro) management of insignificant/minor rural worlds, while doubling as a supply/reserve pool of slaves.
penal colonies I like as dumping spots of excess pops, but that's a bit situational. but if I accidently get an outside species somewhere, I notice too late and it spread to growing on multiple planets screwing up my population, I can just dump them all on my penal colony so they don't cause unrest on my productive planets(while they are either for sale on the slave market or turned to undesirables). and with no housing on the penal colony any pops dumped on it decine too just from being there. also nice later game when I have too much population growth or too much of one species, just dump them all on a penal colony tombworld without housing. could also work for conquered planets.