Woolly Bully

This is a Tiger Moth caterpillar (Tribe Arctiini). These guys overwinter as caterpillars and pupate in the spring. There are a couple of species that have black furry caterpillars like the one you found. It will be hard to tell which one it is without more pictures. bugadrienne is right, if you can tell us more about it, it might be easier to ID. Here is a link that might help you find what it is: http://bugguide.net/node/view/39181/bgpage?from=0

If it is large with red bands it is probably Hypercompe scribonia, (Giant leopard moth). A beautiful and harmless creature. Maybe they overwinter or it has been warm enough for it to survive?

Does it have red bands in between the hairs? That can be seen easier if the caterpillar curls up in a defensive position. What size is it?