Melittia sp. is quite close, but I did not find a reasonable match. Important are the details: color of body, markings on body, color of the wings, antennae, legs and markings on the wings. Many Melittia have "clear" wings, which yours has not. But that was just a quick search! All I can say until now: tricky one, but a real beauty!!
Just for illustration!
http://en.wikipedia.org/wiki/Squash_vine_borer
Its a moth with underdeveloped wings.
Some bagmoths (Psychidae) look like this; http://www.landcareresearch.co.nz/resources/identification/animals/bug-id/alphabetic-list-of-bugs/australian-bag-moth
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