Some will claim that it is a worm but that is very likely wrong. It was more likely to be the Deep/Darkness itself, or at least a fragment of it. This is backed up by something in Ikora's Journal where she talks about the Taken.
[quote]Oryx wields this power. But Oryx did not make it. We face the same flower we met in the Black Garden.[/quote]
Oryx gained the power to Take directly from the Deep/Darkness not the worms.
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Yeah, it would make a lot of sense either way. A. It is a worm, and through the Vex praying to it, they can draw out its powers. However, worms are described to have wings and jaws, as the Destiny wiki states (depending on how accurate that is). B. It is a shard of the Darkness, and knowing this we can safely say that the Deep/Darkness, even if other beings call it the Formless One, it does indeed have some sort of physicality. Perhaps the reason why it was even called the Formless One is because not a lot of entities have seen it.