This rather spiky creation is the cocoon of the ctenucha moth, which will be seen flying by about mid-June. The caterpillars, which are just the colour of the cocoon, use their hairs to create this structure. It is on a comfrey plant, so I hope the plant doesn't get cut down until after the moth has emerged. The moths themselves are very colourful day-flyers.
To see a photo of a recently emerged adult: http://www.pbase.com/image/104958478