In one word: Yes. But with more and more people raised and living in urban areas, there is a disconnect with nature. A simple rule then: if you don't know for sure, Hands Off!
Stinging caterpillars--some of the most widespread in North America are listed below--have urticating, hollow hairs containing toxins. When touched, these break off, enter the skin and release their poisons. This may result in anything from a discomforting itch to excruciating pain. Top contenders include: