It seems you've been visited by the larvae of the Black Swallowtail Butterfly! There are several species, but from your description, it sounds like the black.
Check out this link, and see if any of the pictures look like what you've got. [URL=http://www.oznet.ksu.edu/johnson/hort/Butterfly/BlackSwallowtail.htm][/URL]
(the larvae completely changes it's look as it ages, all of these are the same larvae)
I can't recall if the butterflies are beneficial for any reason other than pollination, but many people welcome the total annihilation of their parsley, dill, and/or fennel just to be given the chance to see the beautiful butterflies these larvae produce. I'm sure this isn't what you want to hear, especially if this fella has eaten all the dill you were looking so forward to sampling yourself! If the liitle guy didn't meet with an untimely end when you found him, maybe you could keep him around and eventually be blessed with the presence of an absolutely beautiful (really!) creature!
As far as the dill, many people actually plant extra, in a different location, and watch it closely, so they can have some, too.
Now, myself, I'm happy to see the little guys show up every year, at least somebody gets some use from the dill! You see, if it weren't for them, my dill would just die, anyway. (No, it's not me, dill just can't stand our hot, humid weather! )
Well, this probably hasn't made you feel any better but when you garden, there's some things ya just gotta work around, know what I mean?