We usually see these fellas in the Fall when the temperatures get cooler. I remember as a child being told that the wide  middle brown band would predict how severe the winter would be. Here's the real story:

There are usually two generation of Woolly Bears each year. Eggs hatch in May with another generation  emerging in August. The hungry caterpillars eat a wide variety of plant material, including weeds like plantain, dandelion and nettles. They also eat grasses, asters and sunflowers and leaves from birches, elms and maples, but they are rarely a serious problem. The spring generation has time to complete an entire life cycle. But caterpillars that hatch in summer spend the winter hibernating under garden debris. Warm spring temperatures wake the woolly bears. After a brief feeding period, they spin fuzzy cocoons in sheltered spots, such as wood piles. In 2 to 3 weeks adult Isabella moths emerge and the cycle begins again.

The folk tale told was that the wider the brown band the milder the winter. However, studies have shown that the brown band is a better indicator of the age of the caterpillar and previous rainfall! Older woolly bears and those that grow in an area with plenty of moisture tend to have smaller bands.