I have had been vermicomposting for 3 years and sing its praises whenever I can. We have an outdoor compost pile as well but it doesn't do much in the cold weather. We seem to generate much more compost in the summer and fall so there is plenty to go around.
We made our worm bin out of a small rubbermaid container. In the summer and early fall the bin lives in our wood shed and in the colder months we bring the bin inside. Healthy compost doesn't smell and the soil that is generated is gardener's gold!