It's the seed pod of a magnolia flower. It's on our black tulip tree. It's the only one I've ever seen. It's beginning to crack so after I took this picture Chris took it off the tree and brought it into the house. Once it's dried out we'll have a go at planting the seeds and we'll see what happens.
That is very odd looking and unlike the seeds on my magnolia. I know mine is a different type of magnolia but I would have expected something a little closer looking... the amazing variety of nature, I guess.