Five Pictures.
I had no idea what this was I was watching on my morning walk until I came home and looked it up.

According to Peterson's Guide on Caterpillars:

"Bagworm eggs hatch inside the protective case where they were laid. The young caterpillar comes
out to feed and build its own individual case or bag made of its own silk and bits of plant material
from the host plant. (The host plant in this case is Arizona Buckwheat). While inside the bag it
can move about the food plant. The larva feeds at the upright end of the bag as it grows up to two
inches long. (This bag is one inch long). The mature larva pupates inside the bag. If it is a
female the wingless, legless adult never emerges. The male emerges to mate by finding females
inside their bag through scent."

Peterson's Guide also names the range of the "Evergreen Bagworm Moth" as from Massachusetts to
Florida and west to Nebraska and Texas. I sent these pics to Bugguide.net to find out what species
this one is as I have found no reference to Arizona.