This is the larva of a Bagworm Moth. Different species are common around the world. The caterpillar spins a "bag" of strong silk decorated with bits of plant material. The bag serves as protection, camouflage, and later, as a protective covering for the pupa. While some species weaken their host tree, many are fairly harmless to their host trees. The adult males are good fliers, but are unable to eat, so they die after mating. The adult females of most species lack wings, and some never emerge from their bag. Instead, they lay their eggs inside the bag, which protects them over the winter.