I was perplexed and Googled "orange antennae on caterpillar" and learned that this structure is called an "osmenterium" and is something the caterpillar projects when it feels threatened.

Capturing it was difficult because it almost instantaneously contracted it and I really could have used a third hand to poke around it to make it come out, so I put my camera on a tripod and hoped to click at the right moment.

Here's more about the osmenterium: http://outlawgarden.com/2012/05/22/please-dont-tease-the-parsley-worm/ and, yes, in answer to another Googled question, many other caterpillars have this organ: http://en.wikipedia.org/wiki/Osmeterium

Not my video, but quite remarkably done and informative.