I've never seen one like this before. Quite a strange looking one! Apparently, it's an Apatelodes torrefacta (Dagger moth) larvum. I was driving on my in-laws' farm, and saw it walking on one strand of the electrified fence.
Hat tip to rurality.blogspot.com/2005/09/yellow-fuzzy-caterpillar.html for the blog post--I Googled for "yellow fuzzy caterpillar" and they led me to the source at BugGuide.