Winter in Canada and strange sights

There was a story in today's Toronto Star about feral cat colonies in Toronto and how they can easily survive the winter. This brought to mind something very strange that I witnessed two weeks ago.

I live in southern Ontario, on the north shore of Lake Ontario. In the second week in January there was a bit of a thaw when the temperature rose a few degrees above freezing and much of the snow melted away. I was walking my dog near the lake on a waterfront trail, on a day that was mild and sunny. Crossing the asphalt path in front of me was a caterpillar. It had a black head and tail and was kind of browny organge in the middle portion, and it was fuzzy. I have seen these before in my backyard, but always in the summer. I couldn't believe I was seeing one in the middle of January.

I have tried to identify this species on the Internet with no success. If anybody who reads this knows the name of the insect, I would appreciate hearing from you.