Giant Leopard Moth caterpillars overwinter in the larval stage, and on sunny days when the temperature rises somewhat above freezing, some will become active and commence wandering about. This one had a bit of mud caked on its bristles; it had undoubtedly been under leaves or wood. Because of the GLM cats' predilection for late season and winter wandering, they are often confused with the Woolly-bear by the larvally illiterate. The Woolly-bear, as you know, is the caterpillar of the Isabella Tiger Moth, Pyrrharctia isabella, and is fabled for its alleged ability to predict winter's severity, or lack thereof.
So, people seeing roaming GLM cats may presume it to be a very dark Woolly-bear, and thus predict an exceptionally harsh winter (the darker the Woolly-bear the more severe the winter). On the lighter side, another late fall/early winter wandering caterpillar is that of the Virginian Tiger Moth, Spilosoma virginica, the Yellow Bear. This larva is also similar to the Woolly-bear but is quite pale. Misidentifications of this animal result in predictions of a mild winter.
As the Woolly-bear as winter predictor is a demonstrably false myth, none of these larval identification challenges much matters.
I've written in more detail about Woolly-bears and larval forecasting RIGHT HERE.