To be honest, it looks like a cocoon of a silk moth. Most likely Antheraea Polyphemus. They are large, beautiful moths, and are of little consequence in the garden. Wasps and other predators often predate on these moths, laying their eggs on inside of the caterpillar.
Leave it be and observe, in a few weeks (or days, depending on when it was formed), you may witness the beautiful creature emerge.

Here is a link that might be useful: Silk Moth

This post was edited by AuroraWA on Sun, Jul 27, 14 at 23:53

It looks like a polyphemus moth cocoon to me. That would be great, and you're certainly not encouraging bad bugs.
Polyphemus moths are very big, beautiful moths. I don't think they lay a lot of eggs on any one tree, but distribute them among many trees, so they don't do any harm.

Sherry

Thanks! I hope it is a silk moth. I'll leave it and if I'm lucky, I'll get to find out.

A beautiful photo.