It's a unicorn caterpillar/Schizura unicornis, which I find often on my rose bushes. At first I was confused, because I don't remember the inverted white "V" on mine, but this picture confirms that yours is indeed the unicorn caterpillar.

Sherry

Here is a link that might be useful: Schizura unicornis

Thanks Sherry, that is indeed what they were. I actually found several. I had to move them to a bigger rose bush because naturally they were defoliating a brand new baby one!

Teri