We need giant ice worms to give glacier environments a bit more flavor. This isn't to say that they're boring, far from it. The temperatures outside can kill as surely as anything living in them.
The ice worms could inhabit pockets in the ice that you might accidentally dig into, resulting in fun, and prowl the surface of the glacier in search of prey. While not as dangerous as other giants, they pose a threat to unarmored dwarves. They produce ice sculptures when killed in the same manner as bronze colossi producing statues. They are, however, at best a =superior= statue. It can, however, be decorated, raising it's value higher.
Ice worms are immune to traps and stunning and do not have blood and as such are immune to bleeding. Blunt weapons can shatter parts of their bodies. Ice worms will immediately die if they go underground into the stone, where it is warmer, or into a hotter environment produced on the surface such as a building. They will then melt into water.
Perhaps there could be rumors of a great ice worm or two lurking in the most savage of glaciers and something far worse among their ilk in evil glaciers. Hmm, no idea what that'd be. Perhaps a spikey, evil-looking corrupted ice worm that spits syndrome juice and inflicts it on bite/spike cut that roams about looking for prey?