What Kind of Bug is This
It's probably the larval state of a tortoise beetle, or a closely related beetle. They are known to build a "faecal shield" at the end of their tail, sometimes including shed exoskeleton and any debris that sticks to it. They hold this shield over their bodies for defensive purposes that aren't fully  understood.
Lacewing larva look somewhat similar and also cover themselves with debris, but their legs are longer and their head and mandibles look quite different.
Here's an image of a thistle tortoise beetle larva: