Excellent reference on caterpillars. Has 200-300 color photographs of moth (mostly) and butterfly caterpillars. Includes, mostly, species that feed on trees and shrubs. Does not have a key, but it is fairly easy to flip through the illustrations looking for a caterpillar if the markings are distinctive.

A version is available on the web:

Caterpillars of Eastern Forests

May be out of print. I got mine from the US Government Printing Office, www.gpo.gov. (I contacted the website above in 2003, but they had no more copies available.)

Some more references on this publication:
SuDoc A 13.110/18:9634
also called FHTET-96-34
Publication date is listed sometimes as 1997, other times as 1998.