Chu Worm

Chu Worms are found in Twilight Princess, located in the Lakebed Temple as well as the Cave of Ordeals. When they are first found there will be a short cutscene showing the Chu Worm jumping into the bubble. Link cannot harm them while they are in their bubble that they have formed around them, and must use either his Clawshot to get them out of their bubble shield or use his bomb arrows to blow up the shield. Once the worm is out, the Chu Worm will hop desperately away from Link. Now Link is able to attack it with a wide range of weapons, most effectively his sword, killing the creature. The Chu Worm, if left alone, will try to jump back into the bubble if Link is not quick enough to kill it. Bomb Arrows make this one of the easiest enemies in the game to kill.

They may be related in some way to the Gekko and Mad Jelly which appears in the Great Bay Temple in Majora's Mask.

Trivia
Though this creature is called a Chu "Worm", it has more of the appearance of a beetle.