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I doubt there is a "classification", but there are some interesting examples. Two which come to mind: Harer's description of the moduli space of a Riemann surface with spin structure; and Torelli space.

EDIT: Oops, I forgot to read your title, I just read the text. Torelli space is an infinite rank covering of moduli space.

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I doubt there is a "classification", but there are some interesting examples. Two which come to mind: Harer's description of the moduli space of a Riemann surface with spin structure; and Torelli space.