This is an American Dagger moth caterpillar. It was our first time finding one of these. The caterpillar was quite big, at least 3" long and covered in fuzzy yellow fur. According to the description the fur and spines can cause a stinging sensation in some people, however my daughter carried it around with her for over an hour and never had any problems. We found this guy eating blackberry leaves, and after hanging out with him for a while we returned him to the blackberries.
We are still waiting to find some monarch caterpillars. We no longer have our butterfly garden habitat or an aquarium, but i figure we can still raise one of two in a large pickle jar. :)