You people do realist that some caterpillars are poisonous and can sting you. The ones that are furry are the one you need to avoid. There fur is actually laced in poison which causes all the skin problems that have already been mentioned.
Here's a few tips to help ease the pain:
1. Place Scotch tape, cellophane tape, or duct tape over the site of the sting. Strip off repeatedly. This will remove the spines, hairs, and toxins. But each time you place the tape on, use a new piece, to avoid adding to the sting.
2. Wash the injured area using soap and water. Wash the injured area using soap and water.[10] Remove all contaminated clothing and wash in hot water.
3. If you don't have an ice pack, frozen food works admirably Apply an ice pack to the stinging area after washing it. When the stinging sensation has reduced (check after 1520 minutes), apply a paste made from baking soda and water.
Source:
http://www.wikihow.com/Treat-a-Caterpillar
-Sting