Praying Mantis Egg Case

I agree with John. This looks like an Oak Gall. Mantis Ootheca are not fuzzy. This reminds me a lot of a Wood Sower gall, Callirhytis seminator: Here is an image similar to yours: http://bugguide.net/node/view/515345 Bugguide page for this species: http://bugguide.net/node/view/180960 Take a look and see what you think.

If that is an oak tree I suspect it might be a Cynipidae gall. Cynipids (gall wasps) can inducer a variety of different gall forms - mainly on oaks. http://en.wikipedia.org/wiki/Gall_wasp If you want to check you can always cut it open. if it is a gall it will be woody under the fuzz, with one to several chambers containing wasp larvae or pupae.