I checked on BugGuide, going to the Hymenoptera section (Wasps, Bees and Ants). I was pretty sure it was a sawfly, but it was more colorful than other ones I had encountered.
Macrophya varia, Copyright 2010 by Tom Murray
Sure enough, there it was. I found this beautiful image by Tom Murray. I asked permission to use it and he gladly obliged.
Such fascinating creatures, sawflies. They start out as a larvae that look very much like caterpillars. They have six or more pairs of prolegs, the fleshy appendages on the back of the caterpillar. Most caterpillars have five pair. Here is an image I took a few years back. This is a different species, from the genus Nematus called Willow Sawflies, but one can see how much they look like caterpillars.
Most sawfly larvae feed on leaves of trees and shrubs and many can be considered pests. Some of the adults feed on nectar or pollen, but many do not feed. (Do not feed! What is wrong with these things! ) The adults get their name from the sawlike ovipositor (looks like a stinger) that can cut into plants to deposit the eggs. Despite the ominous sounding name, they do not sting.
Another interesting creature, right here in Indy! You never know what you might find while exploring outside.