I was just Googling them and a Google Book entry came up. It's a book from 1852 called "The Naturalist's Library: Exotic Moths" by James Duncan. (Edited to say this book was quoting an older book from 1823! I love old books about butterflies and moths!) I love this paragraph from the book:
"When the caterpillar raises its head, and draws the anterior segments together, as it is in the habit of doing when disturbed, it has a very formidable appearance, the spines forming a kind of crest over its head. At the same time it shakes its head from side to side as if preparing to make an attack on its assailant. By the natives of Virginia it is called the Hickory Horned Devil, and Abbot states that they are so afraid of it that he never saw one who would venture to handle it, people in general dreading it as much as a rattle-snake. "Nevertheless," he adds, "It is perfectly harmless, neither stinging by its horns nor any other part. When I have handled this animal in the presence of the negroes, to convince them it was innocent, they would reply that it could not sting me, but would them."
They've had that nickname since at least 1852! How cool is that? They are a fearsome-looking caterpillar.
Apologies to any African-Americans for the old-fashioned language. It was 1852 (could have been worse than the word he used).