I tried to do this on Cinco de Mayo, but our local liquor stores don’t carry tequila with a worm in it. :[ Where can I find some besides Mexico? Heh.
Tequila is a type of mezcal from Jalisco, made from the hearts of blue agave (and usually mixed with fermented sugar cane or other material).
If you want the worm, look for mezcal con gusano (“gusano” is the name of the worm that breeds in the agave hearts). Some of the best mezcal (excepting tequila) comes from Oaxaca, and is often made from wild agave.
If you can’t find it in your hometown, you can order it online.