If you are young, or old, or with a weak system, you can die.
However, I don't know much about Asian centipedes (although I've heard of Malaysian and Indonesian species that are supposed to be large enough and with venom potent enough to be a threat). In Africa and South America, if it crawls you probably do not want it near you (there is two species of caterpillar in the Amazon, and one that I know of in Kenya, that can SERIOUSLY mess up your day simply by slight contact with the skin. The swelling would be ridiculous, and in certain parts ...e.g. the throat ...could have some serious consequences). Thus, in tropical areas, anything that crawls should be regarded with caution.
In the United States all species of centipede are harmless ...yeah, they still have fangs and venom, but most of them cannot even penetrate skin, and the venom is not potent unless you have severe allergies. Go to other continents, and a centipede can be considered a dangerous weapon.
You'd be surprised what can pass as a weapon elsewhere ....as for the centipedes, in the US it is probably as bad as a bee sting (meaning just mild irritation unless you're allergic to the venom), but in other loci a bite from a centipede will give you some of the worst pain you have ever experienced, give it to you for around 2-3 days, and make you forever look at those things with a jaundiced eye.
Now, for some obligatory pics of a centipede (first picture) as well as of some caterpillars (rule of thumb: any caterpillar, centipede, spider, fish, frog, anything that is either brightly colored, has weird body protrusions, looks plain darn weird, is 'too beautiful' or 'too ugly' is trying to tell you something ....don't 'F' with me or I will 'F' you back twice as hard):
I bet the centipedes in your back yard don't look like that.
Probably does not make good eating.
This beauty is called a Saddleback Caterpillar. It can be found in the US, and while it will develop into a moth someday you can be assured if you or your child touches it you will rue that day. It is not dangerous (well, it will make the area sore and you will feel pain if you touch it, but it is not deadly to humans at all).
Then you have the caterpillar above. As you can tell, it does not have those colors because it is trying to be friendly. It's trying to shout something.
Although, the best one is the following one. It is the one I was mentioning that is found in the Amazon ...the Brazilian Lonomia caterpillar can easily kill a person. The locals call it 'electra,' and for good reason ...it can kill you easier than electricity can. Slightly BRUSHING yourself against it for a moment can lead to internal bleeding and kidney failure, and is equivalent to being bitten by a rattlesnake (several people die due to it, primarily due to accidental brushing while walking or resting against a tree). Imagine what would happen if i was to import some eggs, incubate them, and then put the caterpillar larvae in your bed. That would be guaranteed death ...no matter how strong your body might be.
Here is a picture of the caterpillar that you never want to spoon with:
