Milkweed
When I was a kid we used to call these milkweed pods and after doing a search I found this . It is a pretty cool plant. When they pop open lots of fluffy white stuff comes out and is blown along with the wind. We used to pick them when they were at this stage and open them up.
Jon Crispin's Notebook 
As a child, we used to collect these and the giant teasels that grew in Eastern Washington State, and spray paint them silver or gold, freezing the seed fluff in place. As an adult, I use a clear fixative so their natural beauty shines through. They’re gorgeous additions to Autumn arrangements…lovely plants.