The Woolly Worm is an artificial fly commonly categorized as a wet fly or nymph and is fished under the water surface. It is a popular pattern for freshwater game fish and was a very popular fly in the 1950s–1970s in the west. Charles Brooks in Nymph Fishing for Larger Trout recommends the Woolly Worm as a general purpose nymph pattern in most western trout waters in any fly box. Woolly Worms are typically fished in streams, rivers, ponds, and lakes for trout, bass, and panfish. Today, Woolly Worms are tied in a variety of styles and colors to imitate a large aquatic nymphs such as stoneflies, dragonflies, damselflies or hellgrammites.    
 
Imitates 
The Woolly Worm, depending the specific material used and how it is fished can be assumed to resemble large nymphs, more specifically stoneflies, dragonflies, damselflies, riffle beetle larvae or hellgrammites.
 

Variations and sizes 
Woolly Worm flies are typically tied on number 4 to 10 3X long hooks. Variations include Woolly Worms weighted with lead underbodies or brass or tungsten beads.   Materials 

Primary use:    Trout, Bass, Panfish

Materials 
The original Woolly Worm fly was constructed without a tail, but the contemporary pattern has a yarn tail or hackle fiber tail. The body is a chenille or fur body with a hackle palmered from the tail to the head of the fly. The underbody may be weighted with lead wire. The popular colors are yellow, olives, browns, blacks. The most common hackle used is grizzly. 

• Typical sizes    6-12 
• Thread    Black 6/0 
• Tail    Short red yarn 
• Body    Chenille in black, yellow or green 
• Ribbing    Gold wire (optional) 
• Hackle    Grizzly neck or saddle 
• Head    Black thread 
  
  Reference: Wikipedia