Here is a nest made by a mid-grown (third instar) painted lady caterpillar. The caterpillar cannot digest the harry substance of the thistle leaf and therefore uses that and silking to create a nest to protect itself from predators.  Under the silk, you can find both the painted lady caterpillar as well as its frass (poop). 

With experience, recognizing these nests can become relatively easy.  Always look on thistles 2-4 weeks after a painted lady outbreak.  Thistles can be found in neighborhoods, disturbed areas, new housing developments, near freeway offramps, in valley floor wet meadows, or even in the mountains. 

Other plants that painted ladies caterpillars use include Lupens, Sunflowers, Nettles, and others.