Hi, I live in SW Wisconsin and have had something eating my azaleas in late spring, too. A couple seasons ago whatever- it-is (I suspect it is a caterpillar but I've never found one--they seem to hide during the day)started eating one azalea growing in the shade--last year another azalea was hit. This year by the time I first noticed the damage most of my dozen azaleas were at almost completely defoliated and all of them showed extensive damage. I sprinkled Sevin on the foliage of them all--the white powder looked like crap but did the trick--they put out new foliage. Next year I am going to treat the plants at the first sign of damage on any of them. The insects referred to by the other posters and indeed all the internet sources I've found refer to insects that are confined to the SE US and/or damage Azaleas late in the season, not in the spring just after the leaves emerge. It's unfortunate to have to treat a plant to be able to grow it at all, but azaleas are worth it. If the pest is actually a caterpillar the Bt bacillus is likely to work, too. If you see one of the critters next spring, please post a description.

It's a japanese beetle. Welcome to roses. You can knock them off every evening into a bucket/jar of soapy water like jim recommends and that does work very well, but if you want something stronger and non organic you can spray with sevin in the evenings (not powder, it kills bee hives and not during the day, as that kills active bees also) or use milky spore (Lowes and Home Depot carry it here) but that kills future eggs/beetles so it won't work this year. Or, be like me and do nothing. Some years are worse than others but I'm not harming the butterflies, frogs, skinks, or hummingbirds while trying to control a little leaf damage. When you don't kill one thing, everything lives and eats one another so it all works out for the best.

Deer usually eat mine the night before a hard freeze. It it is very dry out, they will eat them during the summer, to get the moisture. I keep a pan of water out in my shade garden on an old stump now during dry weather. It seems to help. Some days I can fill it daily, so I know it is getting used!

I don't believe it to be a caterpillar at all. They look more like the larvae/pupae of a beetle...maybe a Colorado potato beetle? I wouldn't wait around for an ID, though. Yikes! Rather than experiment with a home made brew, I'd strongly suggest a spray of insecticidal soap directly on these little pests. Jean...what do you think these might be?