If Worldgorger Dragon leaves the battlefield before its enters-the-battlefield ability resolves, the "leaves-the-battlefield" ability will trigger and resolve first. It won't return anything. Then the enters-the-battlefield ability will exile all other permanents you control indefinitely.

If an Aura is exiled with Worldgorger Dragon and then returns to the battlefield, the player who controls the Aura as it enters the battlefield chooses what it will enchant. An Aura put onto the battlefield this way doesn't target anything (so it could be attached to an opponent's permanent with hexproof, for example), but the Aura's enchant ability restricts what it can be attached to. If the Aura can't legally be attached to anything, it stays exiled. It can't enter the battlefield enchanting a permanent that enters the battlefield at the same time.