When starting a new match, type these level names in to access the hand-crafted levels:

• ANKH
  
  
  
• ARCTICS
  
  
  
• ARMOUR
  
  
  
• ARTFRONT
  
  
  
• BIRDS
  
  
  
• BOTTLES
  
  
  
• BRIDGE
  
  
  
• BUST
  
  
  
• CARS
  
  
  
• CHEESE
  
  
  
• CHROME
  
  
  
• CITY
  
  
  
• DOGS
  
  
  
• ERIS
  
  
  
• FUNGUS
  
  
  
• GUITAR
  
  
  
• HACKER
  
  
  
• HEAVEN
  
  
  
• HELL
  
  
  
• HIVE
  
  
  
• ICE
  
  
  
• ISLANDS
  
  
  
• JUNGLE
  
  
  
• MADCOW
  
  
  
• PC STUFF
  
  
  
• PISTONS
  
  
  
• PUB
  
  
  
• SPACE
  
  
  
• TANKPLAN
  
  
  
• TEAM17
  
  
  
• TNT
  
  
  
• WIN95
  
  
  
• WLOGO
  
  
  
• WORMS
  
  
  
• WROCK
  

The Team17 FTP contains some levels made back when the game was released:

ftp:/ftp.team17.com/pub/t17/worms/custom/pc/Tim1.zip ftp:/ftp.team17.com/pub/t17/worms/custom/pc/Tim1.txt

For details on how to make your own levels, see this guide:
https://www.gog.com/forum/worms_series/worms_level_creation_in_2_minutes_with_gimp_videotutorial

Full details can be found in the game files:
\WORMS\DOCS\CUSTOM.TXT