True bugs are from the order Hemiptera. They have a proboscis which is a long nose that is used for sucking. A worm is just a generalization because there are animals in different phyla using the word worm. True segmented worms are in the phylum Annelida which are earthworms, leeches, tubeworms, etc... Velvet worms are in the phylum Onychophora which means they have claws but they are not true segmented worms. Phylum Platyhelminthes are flatworms like planarians, flukes and tapeworms. Phylum Nemertea are the ribbon worms which have a long tongue like muscle that is used to grab prey. Phylum Nematoda consists of the roundworms which like arthropods have a non-living exoskeleton called the cuticle. They perform a process called ecdysis like insects that molt the outer skeleton since it does not grow along with the living creature so they have to remake it to accommadate their new size as the animal grows. A major characteristic of nematodes is that they are pseudocoelomates which means they don't have a true cavity like us. Their organs are loosely hanging inside. Annelids also have this non-living layer. There are many other minor phyla that contain worms in them. Worms are generally long tubelike animals while the term bug isusually associated with insects. Sorry to go ff on a worm discussion.