The Worm Hole is a large worm like creature that exists largely underground. It has two mouths in the world and entering one mouth will spit you out the other. This is a great way for getting around the world quickly but this comes with a 15 point Sanity loss so this should only be used when it important to get to the other side quickly (for instance, returning to your settlement) or when it saves you a large chunk of time (sometimes the better part of a day).
Caution should be taken with sick Worm Holes. Normally, Worm Holes appear as being brown and orange but sick Worm Holes will have a greenish color to them. These Worm Holes will die after their first use. This means that if you come out in an inhospitable area, you'll have to walk back to where you were or (in the case of adventure mode) you may not be able to get back at all.