This funny little collection of plant debris is actually a carefully constructed case for the caterpillar of the Bagworm Moth. You can see the head of the caterpillar sticking out of the top end. Most often you see these larval cases affixed to anything from stems, rocks, leaves, houses, etc. The larva forms a pupal case inside and in time, emerges as an adult (moth). This one was moving up the trunk of a tree, and at quite a good pace, given it was carrying all that stuff!