The Woolly Bear is the larva of the Isabella Tiger Moth (Pyrrharctia isabella), whose eggs hatch in the fall and live out the winter in caterpillar form. It pupates in the spring and spends the summer as a flying adult.
Legend has it, of course, that the coloring on the Woolly Bear can predict the severity of the coming winter. If the reddish band is large, the winter will be mild; if the black areas are more predominant, the winter will be harsh. This is a fact.
I was worried I'd back over the little bugger, so I picked him up on a piece of paper. He rolled into a ball and played dead. I put him off to the side, in some leaves, and when I came back from my errands, he was gone.