Oh! Look at that. It's a piece of somebody's Halloween costume that got left out in the woods. And...it's...moving?!
That moving chenille stem is actually a caterpillar of the Isabella tiger moth (Pyrrharctia isabella). Tiger moths are found all over the world, as are their animate pipecleaner larvae. Their fuzzy larvae, called banded woolly bears, are usually out in fall, which is somewhat rare for caterpillars. They are America's most recognizable caterpillar, enough so that Ohio gave them a festival.
Like all caterpillars, woolly bears eat vegetation. They can eat any and all kinds of vegetation. They may ingest certain plants to prevent flies from laying eggs in them, but these things are not monarch larvae. They will not hurt you if you pick them up - if anything, they will play dead, acting even more like a craft project leftover than they were before.
Woolly bears hatch during the fall. Just like real bears, they have evolved to hibernate during winter: their skin contains natural antifreeze that prevents the little caterpillar from dying. Come springtime, they wake up and eat any plants they can find while they are abundant. They become moths and mate during the summer.
Much like how groundhogs have Groundhog Day, the woolly bear has a weather-related superstition. Depending on the measurement of the red band, there may be more or less severe winter for the year. (It makes more sense to do this in Fall than in February - sorry, groundhog.) If the red-brown band on a woolly bear is thick, the winter will be mild. If not, well...happy Halloween.