Fur baby

I dislike that expression for pets but if you think of a caterpillar as  an infant moth or butterfly then it fits quite well.

Multitudes of these furry fox moth larvae were on the move among the moorland heather (which is what they eat), presumably seeking suitable places to hibernate.  They don't pupate till the spring. I imagine the hairy coat provides a layer of insulation in their winter lodging on the high ground. It certainly make them less attractive as snacks for birds and mammals - who'd want a mouthful of fluff?
What I didn't realise until I did some googling was that the hairs (called  setae) also repel other insects, especially ground beetles, that prey upon caterpillars and prefer the smooth ones.
However it seems that this cunning evolutionary ploy has a backlash. Parasitic insects that lay their eggs in larvae  (see here for example) have cottoned on to the  better survival rate of hairy caterpillars and target them rather than the more vulnerable smooth ones. 
There's no such thing as a free lunch (except if you're a parasite perhaps.)

Information on this, along with a caterpillar cartoon on this subject, can be found here.