Furry caterpillars are a fascinating type of insect that usually turn into moths. Most types of furry caterpillars feed on the leaves of plants and trees. Although many hairy caterpillars look scary, most are quite harmless. There are some spiky caterpillars that are poisonous and can give you a bee-like sting or cause skin irritation. So, until you identify the exact caterpillar species, you should avoid handling the furry ones without protective gloves.