From Worms Knowledge Base
Fury is a status effect/worm state where the worm has entered a very furious, agitated state. This occurs when a worm has been attacked many times in succession, and this has a small chance (18%) chance of happening. Note that even friendly-fire can help trigger this.
A worm in a state of "fury" will do 30% more damage as well receive 30% more damage, making it a very high risk, high reward state. Furious worms will have a red hue, and have an angry expression on its face. It will even pull off anger/vengeance-related animations at random, and much more frequently than a normal worm, as well as having steam particles occasionally coming out of the worm's head.