Healthy worms arrive in a priority mailer. They should be moving around and look shiny. There will be no off odors, only a fresh, woodsy smell to the bedding.
Most worm suppliers have a time of year for mailing. If it is too cold, your worms will die. Try to order by late fall and be aware of the upcoming weather. Find a supplier who will only ship in time for your to receive the worms during the week. They will not be healthy if kept over the weekend in a PO Box.