Thank you Mr. Grafo!

We will watch the video soon. Woooo it looked like a meanie bug just looking at the first image.

Mom and I looked through the caterpillars on the link you gave. The closest one is the Pale Tussock moth caterpillar. But it's not it because the one we saw doesn't have the red hair.

I wonder if the worm we saw is now a caterpillar. Maybe we'll see another worm like it again.

Edit:
We found it! It's a web worm. Wikipedia had a similar picture that said it's a larva.