We found these two Milkweed Tussock Moth Caterpillars while on a hike at Earl Rowe Campground, Alliston, Ontario. These colourful black, white and orange caterpillars are sometimes referred to as the "Harlequin Caterpillars". My National Audubon field guide refers to them as Milkweed Tiger Moth Caterpillars. They can be found in meadows and along roadsides ~ or wherever you may find milkweed, as they feed on the foliage of this weed. They range from Ontario and northeastern United States, to the North Carolina mountains, west to the great Plains.
I only managed a couple of shots before they fell off the leaf they were on. This is apparently a defense mechanism they use when they feel threatened. My son had bumped the plant they were on and they quickly curled up and dropped to the ground.
The caterpillar will eventually become the Milkweed Tussock Moth (or Milkweed Tiger Moth).
Check out some of these sites to learn more about the Milkweed Tussock Moth and their caterpillars:
Garden Web: http://forums.gardenweb.com/forums/load/butterfly/msg0907431211368.html
Wikipedia: http://en.wikipedia.org/wiki/Euchaetes_egle
The Metropolitan Naturalist:
http://metro-naturalist.com/Animals/Insects/Milkweed_Tussock_Moth.html