Here is a reply I just received from Monarch Watch. It looks like I don't even have Monarchs. They are Queen Butterflies. And Monarch Watch says this isn't milkweed. Here is the email:
First thing, you have a great picture! However, it is a picture of a Queen butterfly and not a Monarch.
Here is a picture of a queen caterpillar - notice the queen has an extra set of filaments.http://www.monarchwatch.org/update/2002/queen.html
This website you can see the difference between the two butterflies:http://www.butterflyfunfacts.com/monarc ... ysalis.php
They are both milkweed butterflies.
The plant in your picture is an Ageratum. The common name is mist flower.
You also will want to add some milkweed to your garden for the monarch and queen larvae!