... slimey!
Unless you fry them, then they feel crunchy.:)

The worm in Mezcal tastes just like the drink BTW, the texture is somewhat leathery for the skin but the insides are creamy and smooth after marinating for so long. The nice smoky flavor of Mezcal... mmmhh maybe there's an oportunity there for yet another snack, Mezcal marinated worms.
(And despite what you may think I wasn't drunk at all when I ate the worm, just quite curious about the experience of entomophagy)
Those are not actually worms but insects, they're the larva of a moth (I took a class of invertebrate zoology in college, can't help to note that there is a difference, they are also called "gusanos", i.e. worms, in Spanish so the difference is only, and extremely, academic).
Some Mezcals come with a little bag of "worm salt" (sal de gusano), which is dried and ground worm mixed with salt, to consume with the Mezcal, but I'm not too sure of what's the customary way to do it.