The setae are part of the reason that robins have such a hard time pulling worms out of the ground. Without going into a lot of details, here's a quick overview of worm biology. The body plan of an earth worm is basically a segmented tube. Each segment is a separate fluid-filled compartment surrounding a central digestive tract, or gut, which runs the length of the worm's body. Many of the worm's internal organs are also segmented, occurring as separate units in each segment, but there is also considerable specialization in the head end of the worm.
Earth worms have no eyes, but they do possess cells which are sensitive to light.
This is why when worms are brought out into the light, they squirm and thrash around. Worms also don't have ears, but they can feel vibrations in the ground. While earth worms don't have lungs, they do need oxygen to survive. Instead of lungs, worms have developed the ability to absorb oxygen directly through their moist skin, which is kept moist by mucous secreting cells. If a worm dries out, it will suffocate.