Loads of the exploding worms…
The way to deal with the worms is to understand that they can’t move very far in a single turn.
Stay in the open near the starting area and away from the wall and corners. Use your soldiers on overwatch, especially your assaults and sniper. That should deal with some of them. Pick them off one by one starting with the ones that are closest to you.
Worms also cannot climb, and their jump height is pathetic, they can barely hop up anywhere. If there is a ladder nearby then you can just have your dudes clamber up on a rooftop and you’ve won the round.
Let them come to you, but limit your overwatch to close ranges; the worms are very hard to hit at a distance with anything but sniper rifles. Also, they’re not very bright and tend to clump together — grandes work wonders.
You’ll hear lots of people complain about grenades here, but I get very good results with them in a number of applications. Don’t leave home without them. If you can get your hands on some NJ incendiary grenades, reverse engineer them quickly. They are great at blocking passages in nests.