The Tunneling Horror is a giant leech who appears in "Bender's Game". John A. Zoidberg is originally mistaken for the Tunneling Horror by Leela. He is later exonerated when the real Tunneling Horror emerges and tries to eat Bender. Frydo later beats it off it with a throw from the Die of Power.
It bears a resemblance to a tape worm from "Teenage Mutant Leela's Hurdles".