Update: Are there any lepidopterists reading this blog? If so, I'd appreciate it if you'd share your expertise. Hubster was told that this was a tiger swallowtail caterpillar. I looked it up on the internet and it appears to be a spicebush swallowtail (Papilio troilus) rather than a tiger swallowtail (Papilio glaucus). The tiger swallowtail is brown, and then green, and is not nearly as cute, as you can see here.
Spicebush larvae start out green; they look a little bit like I've always imagined Gollum to look. Before they pupate, however, they turn the bright yellow/orange color that you see in the picture above. These little fellows' range comprises most of the eastern U.S., and they prefer spicebush and sassafras as their host plants.
For you nature lovers, here is a neat site that has pictures and info regarding the life cycle of Papilio troilus.
The Butterfly Gardening and Conservation site is really interesting, particularly if, unlike Cousin Stacey, you have a fondness for insects. Stein's Virtual Insectary is pretty cool, too.
P.S. To Sparrow: You are to be thanked for all this research I just did. It all started because I wanted to find out if the false eyespots were really on the caterpillar's butt. They're not. :)