As a grown-up, I began to doubt my memory of how incredibly cool and colorful the caterpillar was. But today, in the Austin American Statesman, there was a picture of the same type of caterpillar Colorful was. It's the vertical caterpillar. It is sooo cool looking! According to the paper, it's a cecropia caterpillar.
The Statesman has more cool caterpillar pictures here.