What it really is, is a bush cricket's discarded exoskeleton, and there's a story behind it.
In a sense, an insect has its skeleton outside its body. The insect's body wall is hardened (the technical term is sclerotized) so that it becomes like a shell over the insect's body. Since insects don't have bones, the shell serves as the body's skeleton. Because the skeleton is outside the body, it's called an exoskeleton ("exo-" means "outside."
In our own bodies, muscles are attached to the skeleton's bones. The muscle contracts causing the bone to move, and when the bone moves the flesh around it moves, too. Thus we couldn't walk around without our skeletons. The insect's exoskeleton serves a similar purpose, with the insect's muscles attached to the inner surface of the exoskeleton. An insect's muscle contracts, and the part of the exoskeleton attached to that muscle then moves toward the muscle.
If you think about about having your skeleton on the body's outside instead of the inside, eventually a question will occur to you. That is, "How do insects grow?"
This is a real problem for insects and other invertebrates with exoskeletons (spiders also have them), and the problem is overcome in a fairly drastic manner. That is, every now and then as the insect grows, it's exoskeleton actually splits open, and an enlarged edition of the insect emerges, leaving the old exoskeleton behind. That's what is happening with the periodical cicada at the left.
Unfortunately for the insect, it takes a while for a new exoskeleton to harden, and during this time of having a soft exoskeleton the insect is very vulnerable to predators.
Why would Mother Nature cause insects to have to endure this dangerous time? Surely it's because during most of an insect's life its exoskeleton is of very great benefit, so being vulnerable for a brief period several times in its life is a good trade-off.
The picture above also shows that often the exoskeleton of a freshly emerged insect needs some time before it acquires the colors typical of the mature insect.
When an insect emerges from its old exoskeleton, it is said to be molting.
The stages in between an insect's successive molts are referred to as instars.