Oak Leafroller
Archips semiferana
June 25, 2005 

Strike up the band - it's..... TORTRICIDAEDAY!  (click link)

The caterpillars of this species feed on a variety of deciduous trees - oak, maple, hackberry, walnut.  Being 'leafrollers", they form a tube from the leaf upon with they feed.  The tube is held in place by silk.

Oak leafrollers can be little troublemakers and have been associated with that dreaded word - outbreak.  In PA an outbreak went on for about 8 years, resulting in the death of over 60 million oak trees.  The caterpillars have also been described as a nuisance for another reason. 
Read this from the Texas Agricultural Extension Service:

"Oak leafroller caterpillars suspend from trees on silken strands that can cover tree trunks, shrubs, grass and become a nuisance by dropping onto people in the yard. The problem is so pronounced that by mid-April, many Hill Country residents abandon patios due to hundreds of caterpillars."

In another article, it is suggested that people wear wide-brimmed hats and long sleeves to keep them off you.  Apparently, in some areas it gets so bad people don't  leave their house.  The caterpillars are harmless, but some folks get squeamish about such things.