The Worms are the main antagonists of "Parasites Lost".
Worms are a mutualistic species of sapient worms acquired via ingestion (eating food infected with them). Once inside of a host, they begin to improve all of the infected organism's bodily and mental abilities, most likely for the same reason that any sapient race would advance technology, to enhance lifestyle. Although they do share the host's senses and are aware of everything that they know and see, they don't appear to be able to modify or access the host's mind, as displayed when Fry expelled the worms from his body.
They enter Fry and make him better at everything. They allow him to feel more confident and make him stronger. They also fix his sperm after they were destroyed by the F-Ray.  They also help him play the holophonor well. Due to their effect upon Fry they are most likely a mutualistic symbiotic species.
The worms worship Fry as a deity, referring to him as 'the known universe'. However they don't worship him enough to leave at his request and attack the miniature of himself that he used to talk to them. Though they probably know it was only a Robot as they didn't question how he entered his own body to begin with.
While originally loving the worms as they not only made him better at everything but allowed him to effortlessly win over Turanga Leela he was concerned that she now loved him for who he had become and not who he was so forced the worms to leave.