When my brother was little, he used to say "paterkiller" for "caterpillar", and when I showed this guy to a friend in Sweden (Hej, Helena!) she said it looked as if it were made of marzipan, so I combined the two and dubbed it Marzipaterkiller. In the world outside of the Crazy Bug Lady's head, it's actually a Saddleback caterpillar, the larva of a moth called Acharia stimulea. An interesting-looking creature, and although it is pretty and kids seem almost magnetically attracted to it, this little dude is a don't-touch. The Saddleback is one of the stinging caterpillars, and has venomous spines that cause painful irritation to human skin.
EDIT: Thanks to Staffan for the name "dammsugare". Cool...the caterpillar really does resemble the cake (and the cake looks really, really good)! :)