Clearly not what I was looking for. It turns out that we have a Praying Mantis egg case. Thanks to a forum over at Garden Web I figured out what it was. This excites me as I've always been a nature freak and Praying Mantis are cool. Once I knew what I had I did a search for praying mantis egg case, and found out I can keep it in the garage over the winter and hatch it in a paper bag in the spring. Apparently people order these egg cases because praying mantis are so cool. Nature's Control is one place where these can be ordered. They also have great instructions for how to hatch your egg case.
I took a couple of pictures so if you ever find one you'll know what it is too.
I really, really want to keep this egg case so I can hatch it and release all the praying mantis in my yard. I live out in the country and part of our land is a swamp. We have A LOT of bugs. Oh, and did I mention praying mantis are REALLY cool? But, my oldest son is in 7th grade and his science teacher has the coolest classroom I have ever seen and this egg case would fit in perfectly. I'm contemplating emailing him and seeing if he'd like it for his classroom. Maybe I can still get the babies after they hatch for my yard.