Oops, I forgot to add my name to my last post.
I agree with you, Patricia, not every critter in the garden is nasty. It may well be that Siobhain has something which there's no need to be alarmed about.
However, gypsy moths are a different story. Siobhain has found several of the same type of cocoon, which are red in colour - this made a big red flashing light go off in my head, given the time of year. I have had to deal with infestations of gypsy moth and it's not pretty. I've been lucky, I haven't lost any trees, but I know people who have.
Siobhain, if you start finding little fuzzy greyish black caterpillars with dual rows of blue and red spots on their backs, you definitely have gypsy moth. They go through a series of molts and grow bigger each time. When the caterpillars are small (half an inch), the red and blue spots aren't all that noticeable but they sure stand out when the critters are 2-3" long.
You will also find that they drop small black pellets under trees which leave a persistent stain on whatever they touch.
There are lots of ways to deal with them, some relatively inexpensive, but less effective, like Tanglefoot on your trees, or fairly expensive, like professionally applied BTK (Bacillus thuringiensis kurstaki), which is very effective.
But don't sit on it - just look at what Mississauga has had to do recently.
Best of luck,