Mushroom

@ celine, better not!! some species of "puff-balls" can cause bad/heavy "asthma". The dust are the "spores" of the mushrooms, it's never good when spores get inhaled some cause illness especially "molds" {which everyone knows from the basement}.
-- @ hollye, your could be a young "pholiota squarrosa" ( http://www.google.nl/search?hl=nl&cp... ).

thanks!

to check if it's the ones, as they get old, you can squash it and a strong dust will explosed out of it ! kids love it ; )
They normally grow on the ground so i'm not sure...