Blocking Volumes to of course block off players/zeds from certain areas. But also very importantly to optimize collision and movement on your map, to prevent players from getting stuck, or help keep their movement fluid and uninterrupted. It is infinitely frustrating if you bump into a small edge of a wall and have your movement stopped while trying to flee from 3 angry fleshpounds. Use blocking volumes to "smoothen" out troublesome areas to prevent this from happening.
Reverb Volumes to add more audio atmosphere to your map. Keep in mind that the effect of these don't work in the editor, you don't hear them until you go actually in-game.
Trigger volumes for various effects. Enabling portal spawns, setting objectives, disabling elements, triggering sound effects, teleportation and so on.
Lighting Volumes for obvious reasons.
Pre-computed visibility for final touches rendering optimization.
Dialogue Environment Volumes to add some party banter to your map (many people have this disabled, but you should add them regardless imo)
Occlusion Volumes are in my personal opinion not needed for KF2 maps. They are primarily used to automate draw distances on large open world environments with huge view distances. You should be tweaking draw distances manually in KF2 maps due to their relatively small size.
Dynamic Physics Volumes for various effects, such as making zones that deal damage when entering them or causing other effects.
Post Processing Volumes to add cool visual effects, like blur, fog, color changes etc.