Worm gears are used when large gear reductions are needed. It is common for worm gears to have reductions of 20:1, and even up to 300:1 or greater.
Many worm gears have an interesting Cast Iron property that no other gear set has: the worm can easily turn the gear, but the gear cannot turn the worm. This is because the angle on the worm is so shallow that when the gear tries to spin it, 
the friction between the gear and the worm holds the worm in place.
This feature is useful for machines such as conveyor systems, in which the locking feature can act as a brake for the conveyor when the motor is not turning. One other very interesting usage of worm gears is in the Torsen differential, which is used on some high-performance cars and trucks.