Oddworld is a series that has featured many characters, each of them incredibly unique. There are several different protagonists over the series, including Abe, Munch, and Stranger. Earthworm Jim almost exclusively revolves around one character, Jim. There are a slew of side characters though, as well as the characters created for the television series.
Earthworm Jim is known for its 2D platforming and action gameplay. It later branched off into 3D on the N64, but is best remembered for the first few games. Oddworld's games have been all over in terms of gameplay, from 2D puzzle and platforming to 3D First Person Shooter games.
Both Oddworld and Earthworm Jim feature very distinct and visual worlds. Oddworld is set on the continent known as Mudos. The games take part in several parts of the continent, and other continents have been seen in concept art. Earthworm Jim takes place in outer space. There are many surreal planets that Jim must do battle on to find Princess Whats-Her-Name.