At this time of year, most deciduous trees have lost their leaves. Bare branches make looking for cocoons and finding them much easier. A single leaf dangling from an otherwise barren branch of a tree might very well turn out to be the winter domicile of a Promethea Moth (Callosamia promethea) pupa.
These giant silk moths construct their protective two-inch-long silken cocoons while still in their larval/caterpillar stage. First silk is spun around the stem of the leaf (petiole) as well as where the petiole attaches to the branch, in order to reinforce the attachment of the leaf to the tree. The cocoon is then spun, with the leaf serving as its outer covering. The result is a perfectly disguised shelter that looks like a dead leaf hanging from a branch.
The caterpillar pupates after completing the cocoon. After spending the winter in the pupal stage, the adult moth will emerge in early summer through a valve-like opening at the upper end of the cocoon.