This is a Robin's pincushion, a gall found on wild roses and produced by larvae of the bedeguar gall wasp (Diplolepsis rosae). The larvae inside the gall feed on the rose throughout the winter. The adults emerge in the spring - nearly all are female.
The "Robin" refers to Robin Goodfellow, a woodland sprite in English folklore, also known as Puck. The ashes of the gall, mixed with honey and applied to the scalp, are said to cure baldness. I think I'll give it a try!