I actually found this in the hills of Southern Ohio last fall. I was waiting to photograph and share it until AFTER I had identified it... So, I think I have it! I found another blogger - Biodiverse Gardens - who had found the exact same thing in a similar habitat. I will let you click through to her site to see what the moth looks like because it seems wrong for me to copy the picture after the help I got from this other blog in identifying the cocoon!
BTW, as usual on Wednesdays, I am linking to Michelle at Nature Notes - see the button below. (The website is Rambling Woods, and Nature Notes is the meme.) It is really fun; you should check it out :)