This is the beautiful lace like remains of the Shoo-Fly flower (Nicandra physaloides) also known as the Jewel of Peru or Lantern Flower. This annual was originally introduced to us from South America and is well known for its insect repelling properties. It is a vigorous grower of upwards of 1 meter in height, covered with very pretty bell shaped flowers.
The very first photo shows the seed pod berry fully intact inside the paper calyx and the one above shows it opened and all of the seeds are visible. You can harvest the seeds for future planting or let them fall to the ground and hopefully reseed itself which is possible.