What is this sand covered insect?
It's a kind of assassin bug, specifically a Masked Hunter:

 


  The surface of an immature Masked Hunter is sticky and it attracts lint and dust which helps to camouflage this predator.


and


  The name refers to the fact that its nymph camouflages itself with dust.


Though they feed on small insects, they will bite defensively, and when they do, it's fairly painful.