For centuries, wine has had a fundamental role in the culture and habits of different civilizations. Amongst numerous wine types that involve specific winemaking processes, fortified wines possess an added value and are greatly honored worldwide. This review comprises the description of the most important characteristics of the main worldwide fortified wines—Madeira, Port, Sherry, Muscat, and Vermouth—structured in three parts. The first part briefly describes the chemistry of wine flavor, the origin of typical aroma (primary, secondary and tertiary), and the influencing parameters during the winemaking process. The second part describes some specificities of worldwide fortified wine, highlighting the volatile composition with particular emphasis on aroma compounds. The third part reports the volatile composition of the most important fortified wines, including the principal characteristics, vinification process, the evolution of volatile organic compounds (VOCs) during the aging processes, and the most important odor descriptors. Given the worldwide popularity and the economic relevance of fortified wines, much research should be done to better understand accurately the reactions and mechanisms that occur in different stages of winemaking, mainly during the oxidative and thermal aging.