What it was doing there I'll never know, but it was probably looking for a peaceful dark place to spend the winter. The woolly worm is the larva of the Isabella tiger moth, Pyrrharctia isabella. It's also called the banded woolly bear. The second generation of each year overwinters as caterpillars, generating their own antifreeze to protect themselves from damage due to freezing, and pupates in the spring, becoming a nondescript pale orange moth.
The caterpillar, on the other hand, has a distinctive pattern of coloration, appearing a coppery orange in the middle and black at the ends. The width of the central band varies, and folk wisdom says that it indicates how severe the coming winter will be. However, this is no more than a charming folktale, autumn's counterpart to Groundhog Day. The width of the stripe varies with the age of the caterpillar and how well it has eaten.
Many of the tiger moths have fuzzy caterpillars. These moths belong to a family called Arctiidae, although some taxonomists have proposed rearranging the family tree so that they belong to the subfamily Arctiinae in the family Erebidae. Either way, the family or subfamily takes its name from the Greek word arktos, or bear, because the caterpillars are collectively known as woolly bears.
We also see this Greek root in the word arctic, which comes from arktikos, meaning of the bears. The bears here are the northern constellations that today go by the Latin names Ursa Major and Ursa Minor; they contain the Big and Little Dippers. There's also a star called Arcturus; the name can be translated as the Guardian of the Bears, and evidently was given to the star for its position in the sky not too far from the starry Ursae. It's just another example of the wide range of some Greek roots.