There are some forms of caterpillars that are fur although their skin has different textures to it for example some have soft smooth skin some have rough hard skin it really varies on the type of...
Most caterpillars eat plant material. There are a few exceptions, for instance the Large Blue butterfly caterpillar eats red ant's eggs and larvae for up to 3 weeks after coming out of hibernation...
Yes, depending on what type of butterfly the caterpillar is going to become. Catterpillars come in all different colors, just like butterflies themselves.