If you follow the link above, this will fix most of your problems with color pallet problems, full-screen problems, and resolution problems. It worked out great for me.
Information about the games: Earthworm Jim 1 and 2, are from "The Whole Can O' Worms" package that was released for PC useing DOSBox. Earthworm Jim 1 and 2 are missing a few levels, well, EWJ1 anyways. The missing levels for EWJ1 are "Big Bruty", and "Intestinal Distress". While Earthworm Jim 2 is only missing "Lorenzen's Soil".
To fix Earthworm Jim 3D with its missing music, follow this link here: http://www.dotemu.com/en/forums/pc-games/support/earthworm-jim-3d-without-intro-music
This link is 100% Safe, trust me. I have the music installed right now and I had it installed for about a month now. Just go down in the comments and find the person who gives the link saying "Earthworm Jim 3D Music Fix", and click on it, it will give you a Dropbox link for you to download. Just open the file, and drag and drop the file into your main Earthworm Jim 3D directory. Presto! It's fixed!
I hope this helped anyone with problems...
A NOTE TO STEAM: STEAM DO NOT REMOVE THIS POST! FIX THIS SH*T YOURSELF OR LEAVE THIS ALONE!