All stages are very easily recognized. There are probably hundreds of useful pamphlets etc. easily available from the U.S. Forest Service, state agencies or county extension agents in regions where gypsy moth is a concern, as well as websites. The Field Guide to Moths (Covell, 1984) also has good illustrations of adults and larvae. Given the extensive information available, identification should never be a problem.
The details of the markings are very diagnostic: the combination of blue thoracic and red abdominal dots is distinctive to the gypsy moth larva at least in North America. Also note that the head of late instar gypsy moth larvae is contrastingly paler than the body, with very prominent hair tufts immediately behind it. Head markings on older larvae are unique. No stage of the gypsy moth is similar to any other North American moth. There are of course other dark hairy caterpillars, but all differ greatly in details. The appearance of both sexes of the adults is unmistakable. No other such large egg masses have the dense fuzzy covering, although the much smaller egg masses of some tussock moths that (unlike gypsy moth eggs) are laid on the female's cocoon (usually on an old leaf), may have some hair.