Rearing caterpillars is a great way to learn more about the insect life in your garden. Many of these questions can be answered by careful observation of feeding caterpillars. Rearing can also help with identification. First locate some feeding caterpillars. Cabbage and broccoli are favorite foods of the cabbage looper and the cabbage butterfly.
Milkweed is a good place to look for monarch caterpillars.
Actually, nearly any tree or plant can have caterpillars, if you have sharp eyes. Frass is another name for caterpillar feces. It is often present just underneath where a caterpillar is feeding. Once you have your caterpillars, you'll need to find them some suitable food. Feed them the wrong food and they'll starve.