Caterpillars
Moth caterpillars
This is the caterpillar of the Pale Tussock Moth, often seen in October.
There are over 2000 Moths in the British Isles.
Exotic/interesting caterpillars are usually moths not butterflies - Hawkmoth
caterpillars in particular.
Information about Moths can be found at Ian Kimber's website - see Links.
Butterfly caterpillars
The caterpillars of the 58 butterfly species are not nearly as exciting. Only 2 species lay their eggs on cultivated garden plants: the Large White and the Small White.
Nettles are the larval foodplant of Comma, Peacock, Red Admiral and Small Tortoiseshell butterflies, so look closely at any Nettle patch that you're passing in the countryside.