The caterpillar shown backpacking a load of sticks is aptly called the camouflaged looper (Synchlora frondaria). This moth is in the family Geometridae, named for the way the larvae, or "inchworms," move as if measuring (metron) the Earth (geo). The adult moth is a lovely green color and is called the southern emerald. Camouflaged loopers actually stick bits of vegetation to their backs, using silk from glands by their mouths as well as small spines on their bodies. The type of plants they carry varies depending on what they've been eating. Usually I find this species on various flowers, including blue mist-flower, brown-eyed Susan, zexmenia, and salvias, all of which provide very colorful costumes. This particular individual happens to have decorated itself mostly with bits of nolina, a plant related to yucca and sotol. The bits of yellow petals belong to a different flower.
These caterpillars are almost always seen with their attached debris. They are only naked right after they have molted, as they shed both their skin and all embellishments. The collected stuff on their backs is not just a fashion statement; it helps hide the vulnerable larvae from predators, and also makes it harder for parasitoid wasps or flies to lay eggs on them.