That depends what you mean by conscious.
They do not have a brain, so if you mean conscious in a more human/vertebrate sense then not.
BUT they do have neurons (that are very well mapped actually) and they can detect things like physical pressure (for example from a platinum wire we sometimes probe them with) – they run away from it.
They can detect humidity and food sources.
The discussion about a pain sensation in invertebrates is still ongoing, you can read some here: http://en.wikipedia.org/wiki/Pain_in_invertebrates
I know it’s not much but hopefully my fellow worm-friends will be able to help:)