There will be no Episode IV of Mystery Animals :(

because I guessed it :)! The second photo gave enough background (a leaf) to where "caterpillar" seemed a reasonable guess. Franz responded:

"Yes, it's a caterpillar of the Megalophygidae family, specifically a Podalia sp. These guys have urticating spines beneath their exuberant hair and are toxic without necessarily causing an anaphylactic shock."

What did I win, Franz? :)

(and I got the paper turned in today, too...)