Wormholes are definitely one of the most interesting parts of EVE. Even if you're a player with powerful ships and allies and money on your side, going in and exploring one comes with the palpable risk of getting stranded inside and having to surrender all your stuff, or suddenly getting ambushed by people you didn't know were there. CCP does a nice job of making it worth the trouble, by putting all sorts of interesting stuff in wormholes that you can't find anywhere else and making the built-in AI residents more dangerous than other enemies. The fact that the connections change all the time means that it remains interesting to pop into a wormhole and explore it. On the flipside, when a wormhole opens up in comparatively 'civilized' 0-security space, sometimes wormhole denizens pop out and wreak havoc, which is fun too.
