[arrogant]

Another interesting cocoon, linked to from the comments: http://blog.perunature.com/2013/06/the-incredible-urodid-mot...

Instead of hiding, the caterpillar builds an open-air net-like structure which hangs by a thread from the bottom of a leaf. The video hypothesizes that the structure both protects the pupa from ants and allows rain to flow through it (both of which seem like critical features in the Amazonian rainforest).

Also, it looks really cool.

[icambron]

Alternative, admittedly uninformed hypothesis: the structure makes it lighter, which means the chord suspending it can be thinner, which makes it harder for ants to crawl down it.

[dfischer]

More-so, it's lighter AND allows air to pass through it so it's more stable.