Thanks to Mary Kay Winter who did some research on the Woolly Bear Caterpillar.
“Woolly bear caterpillars eat leaves and grass. Once the the weather is near or below freezing they hibernate. During hibernation they nearly freeze solid. Their body produces a chemical called a cryoprotectant that acts like an anti freeze which protects their organs and body tissues from being damaged from freezing. Once spring arrives and the outdoor temperatures begin to warm the caterpillar thaws out and becomes active again and eats some of the early plant growth, such as dandelion leaves.
The woolly bear will spin a cocoon and pupate, eventually emerging as an adult Tiger Moth. When the caterpillar emerges as an adult it will have a short life span where it will need to find a mate and lay it’s eggs to complete the life cycle. The adult moth will only live for one to two weeks. They have no mouth parts so they essentially starve to death.”
Woolly Bears are found in fall in many parts of the USA and southern Canada. There is a myth that the wider the orange band on the caterpillar, the more severe the winter.
Some people develop rashes from handling Woolly Bears.