Full Idea
I believe the only promising choice of actual entities to serve as 'worlds' is that of sets of intensional objects, such as propositions or properties with stipulated interrelations.
Clarification
'Intensional' objects involve concepts, and not just collections
Gist of Idea
Possible worlds must be made of intensional objects like propositions or properties
Source
William Lycan (The Trouble with Possible Worlds [1979], 12)
Book Reference
'The Possible and the Actual', ed/tr. Loux,Michael J. [Cornell 1979], p.312
A Reaction
This is mainly in response to Lewis's construction of them out of actual concrete objects. It strikes me as a bogus problem. It is just a convenient way to think precisely about possibilities, and occasionally outruns our mental capacity.