"Hickory Horned Devil"
I'll quote from Ohio State University's Giant Caterpillars Fact Sheet:
"This caterpillar is the larva of the Royal Walnut Moth, also known as the Regal Moth. The larva is not one for a timid person to suddenly discover. It has a scary, frightful appearance resembling a small dragon with up to five pairs of long, curving hornlike structures over the back of its thorax with the rest of the body covered with shorter spikes. The body color ranges from deep blue-green to tan with orange spikes tipped with black. Shorter spikes are black. Though very ferocious appearing, it is quite harmless to handle. They are enormous in size, being five to six inches long and nearly 3/4-inch in diameter. They feed for a period of 37 to 42 days on the leaves of hickory, walnut, butternut, pecan, ash, lilac, persimmon, sycamore, sumac and sweet gum. Larvae mature in late summer, wandering around searching for a place to burrow underground to pupate. Overwintering occurs in the pupal stage.
The moth has a wingspan of five to six inches and is seen in midsummer. It has a long body covered with orange yellow hair. The forewings are gray with orange veins and yellow spots. The hindwings are primarily orange with scattered yellow patches."
What's missing from the description above is the feeling of holding it. The body is smooth and firm, the spikes are stiff and noticably pointy, but not tear-your-skin sharp. When it crawls, you get a gentle "pickery" sensation from the little points on its feet. It's a little odd at first, but not unpleasant.
Most of the time, it hardly seemed to notice that it was being handled. One time, however, I appeared to trigger some sort of defensive behavior. I'd just taken it back from a kid who'd been holding it, and it suddenly started twisting and writhing vigorously in my cupped hand in a way that made it rotate more or less around its long axis. As it rotated, its spikes were poking at my hand. It didn't hurt, but it was startling, and I imagine that it might very well make a bird or other predator drop it.
After observing it we also added a watercolor entry to each of our nature notebooks.