Looks to be a Yellow necked moth caterpillar to me. Let's see what the others say.
Angie

http://ento.psu.edu/extension/factsheets/yellownecked-caterpillar

The datanas are showing up like they do in late summer, and I think it's a Drexel's datana. My book says that the datana moths are declining, probably because of a tachinid parasitoid introduced from Europe to control the gypsy moth. Hopefully, yours will make its cocoon and a moth will emerge whenever it's supposed to.

Sherry

Here is a link that might be useful: Drexel's Datana

Thanks Sherry and Angie.