What is the difference in meaning between unworthy and worthless?

Worthless means there is no worth assigned to something. i.e. something that has lost a significant amount of value. Think of the way a single penny is treated. Many would say that a single penny is worthless.

Unworthy means that someone or something is unfit or lacking in merit. Think about when Wayne and Garth met Aerosmith. They did not assign themselves enough merit or character to meet Aerosmith.