Or blanket worm is what the Kannadigas call one of these. I got one of these on my neck today and suffered some painful rashes as a result. I suppose that's the downside of so much diversity? All kinds of things can give you trouble?
The setae of some this caterpillar are called urticating hairs. Urticating refers to urticaria, a particular kind of allergic reaction. They are hollow and contain liquids secreted by trichogen cells at the base of the setae. The setae are meant to be defensive. The toxins they contain can apparently be quite diverse, ranging from protease like proteins, to histamine analogues, to anticoagulants. The result of having one of these dump its chemical load in your skin can range from rashes, to heart arrhythmia(!) to paralysis, seizures (!!) etc, depending on the species the caterpillar belonged to. There's a particular genus of south American saturnid moths called Lonomia that have caterpillars that are so bad they can kill you! The spines carry anticoagulants (same thing leeches use) that are very potent. They apparently have a fatality rate equivalent to rattlesnakes!!
Interestingly there are specific medical terms for these symptoms, Lepidopterism if it was a butterfly caterpillar, but moth caterpillars are usually worse, and that's called erucism.
On another completely other tangent, a long time ago Robert May, yes 'the' Robert May stopped by at our lab when he was visiting IISc. He told me about stridulating caterpillars when I was showing him my crickets. He didn't seem to know however why they do this. Some ants and caters are known to communicate, using vibration though. Maybe he was talking about these?