This hairy cocoon is covered with a foamy egg-mass.
What is going on here? How did this interesting combination of an empty pupal case, hair, and frothy eggs come about?
Well, when White-marked Tussock Moth caterpillars (Orgyia leucostigma) pupate, they incorporates their hairs into a protective covering over themselves.
After pupation the moths emerge. The males fly off and follow chemical signals to find the females. The female tussock moths are flightless moths. They lay their eggs on, or near, their cocoon.
When the caterpillars hatch, they "balloon" to new locations... and the process begins anew.