I get confused - is this a case moth, or a cocoon? Or are they the same? I've just not seen such a carefully and neatly constructed casing before (not that I've ever really looked . . . )
@LisaH : A cocoon is a static protective covering most moth caterpillars make around their pupa. The caterpillars of the family Psychidae (Case Moths) also make a portable case covering their vulnerable abdomen. This is the latter.