While they don't speak, there is a interesting cartoonish reaction when one is hit. Seems as through they have the personality like a dog. At the end of the Beetlejuice film, It eats Beetlejuice.
Sandworms live in sand all their lives. Nothing more.
Sandworm from the Animated Series
For more information of the animated version of this character go to the animated article.
There are real sandworms, but they are nothing like their movie and cartoon counterparts.