That is a pretty good picture of timothy hay. The prickly, caterpillar looking thing in the middle is the seed head. If that is what you are seeing, it should be fine. If you are seeing something different, it may not be part of the hay.
(I got that pic from google pictures. I wasn't trying to steal it! I don't think I can post links yet, but Annie & Emmie's carrot patch was the website where the picture came from.)
Dutch