Grease and flour a standard Bundt pan. Prepare and bake the cake mix in the pan according to package directions. Let cool completely
Spoon 3/4 of the frosting into a medium bowl and add several drops of green food coloring. Blend well, adding a few more drops as needed to achieve the shade of green you prefer. Remove one heaping spoonful of the green frosting to another bowl and add a few extra drops of green food coloring to create a darker shade of green. Tint the remaining frosting yellow using several drops of yellow food coloring.
Cut the cake in half. Place one side on a large platter and put the other piece next to it to form an S. Using a serrated knife, trim one end of the S until slightly rounded. This will serve as the head.
Ice the entire cake with green frosting. Using pastry bags or plastic bags with one corner snipped off, pipe yellow and dark green lines across the caterpillar.
Cut two 1/2-inch thick rounds from the marshmallow. Put a dot of frosting on the back of two blue M&M's and press one into each marshmallow. Place these on the caterpillar for eyes. Break the Oreo Fun Stix in half and push the two halves into the caterpillar just above the eyes. Use a dot of frosting to stick a green M&M on the end of each antenna. Line the base of the cake with green M&M's. Makes 12 servings.