Photo: Diane Edwardson, April 18, 2011. Woolly Caterpillars seem to like the non-native, invasive Jupiter's Beard. (Click on photo to enlarge.)
Check out Bug Guide and What's That Bug? for more on Woolly Caterpillars. There's a variety of the genus Grammia, which turn into Tiger Moths. (Don't ask me which species, as there are many.)