This is a microscopic view of a plaster bagworm. The bag in which it lives is made from silken fiber, sand, lint, paint fragments and other debris.
Bagworms outdoors are harmless and can be left alone. For indoor control of bagworms it is important to remove spider webs and vacuum up any of the bagworms you find.
For more information see this UF/IFAS publication: http://edis.ifas.ufl.edu/ig090