Your description points to a caterpillar. Many have horn-like projections that are a defence mechanism against potential predators. The 'little legs' are prolegs, 3 pairs of muscular 'appendages' used for locomotion. As for the species, your description is very limited and it could be one of many. Here is an example showing the prolegs, horns and grey-brown colouration... https://www.google.co.uk/search?site=img... Is that it ? Not expecting it to be, but it should certainly let you know if you indeed had a caterpillar !

My brother suddenly started crying and screaming. My uncle ran out, and apparently. On my brothers finger was a grayish-brown worm looking thing? It had horns and little legs. And it was attached to his finger, waving back and forth like it was trying to burrow in. My uncle tried to rip it off but it stretched to considerable lengths. Can anyone help me identify it with pictures, names, etc?