Megalopyge is a genus of moth! In the US, the most common species is the southern flannel moth. The caterpillars (usually called puss caterpillars), as you can see above, are very cute and fuzzy! They can be grey, brown, tan, white, or even orange-ish. The one shown in the post looks like a fairly large later instar, but they can be quite tiny:
But this dude is one of the reasons I tell people not to handle bugs they can’t ID. It might be cute, but it has venomous spines on its body hidden within the hairs. It could likely crawl on your hand like above without risking injury because the underside isn’t fuzzy, but I wouldn’t risk it. If you brush the top hairs against your skin it’ll cause a rash of fluid-filled raised red bumps that radiate terrible pain away from the area. And like it says above, the pain can be so intense that it feels like a broken bone, and it can last hours.
It’s recommended that if you come in contact with one, you use tape to try to pull out any remaining hairs, wash the area with soap and water, apply an ice pack, and take an antihistamine.
On the plus side, the adult moth is VERY fuzzy and 100% safe:
