Ugly suckers, aren't they?
I had one come with my live rock order a week ago and did some research on them. They are generally harmless, considered scavengers, unless they get large. The largest recorded bobbit worm was something like 6 feet long and 3/4 an inch wide.
Aside from the unattractiveness of them they shouldn't be a problem. I'd beware introducing really small fish with them in there, though. Some shrimp may also come missing but the majority of your animals should be OK.
If you do decide to take them out be careful; I hear they give a nasty bite if you aggitate them too much. Also, be sure that you get the whole worm out. It is possible for them to regenerate most of their body, especially if it is the segment with their head on it.
(Mine was mangled too much in shipping to survive, so my guy is dead.)