What kind of a bug is this?? ?

Question

http://www.flickr.com/photos/29816744@N06/

This is "growing" or living on a shrub

Answer 1

This is living. It is a Bag worm. They are commanly found in "Pine trees. Its got pine stuck on its cacoon (they turn brown). You can just pinch it or step on it, it won't hurt you, they do wiggle, but harmless. Just ugly lookin' thats all. They can kill your trees.

Look around and see if you have more. Simply  use about half a bottle of dishsoap in a hose applicator to kill them.

Answer 2

It appears to me to be a caterpillar entering its chrysalis stage.  

I'm not sure what kind of caterpillar, however.    Possibly a Paysandisia archon.    If so, those are "sawdust plugs" it's using to camouflage itself.