They are all different colored baby worms, three of which are light teal, and two of which are light purple. They have very dull stripes on their bodies, so dull that they are nearly impossible to see.
When Dale opens his fortune cookie, it reads: "something wonderful is about to happen to you." The worms then come and start playing with him.
They look very different than an adult worm.
These baby worms are probably the equivalent of puppies in the real world, due to the recurring portrayal of worms as dogs.