Although we no longer see Monarch butterflies, our milkweed patch attracts Milkweed Tussock Moth caterpillars:
This one apparently died on the patio step, half the house away from the milkweed patch, and the rear spines (on the right) have begun falling out. During the next week, I teleported two more from that step to the patch, under the assumption they’d be happier on a tasty leaf than on a slate slab.
They were all early instars, very short and quite fuzzy. Later instars will be much longer, with more distinct tussocks.
I wonder if you could shear them and use the “fur” for decoration? It wouldn’t spin into thread like wool, but someone, somewhere, has surely performed art with Tussock Caterpillar spines…
The Smell of Molten Projects in the Morning 
These are hard to miss and easy to ID but there are quite a few flavors of them. Those little hairs fall out or are pulled out very easily as a defense mechanism. You are probably right about someone having used them for art at some point, just about everything else has been.
The spines on Hickory Tussock caterpillars can provoke a nasty allergic reaction, but the Milkweed variety seems unbearably cute and perfectly harmless. At least if you’re not eating the things; I’m sure something eats them, despite (or maybe because of!) their internal poison.