I have found this little formation of ca. 5 cm (2 inches) near my bedroom window. I have seen no insects crawling or flying around it. I'm in southern Europe (Italy / coastal Tuscany), and it is late Spring.
Is this an insect nest? Maybe wasps? Is it something that I should be wary of, or can I just try and knock it down by myself (with some precautions, by night and after spraying it down abundantly)?
Where I am here we call them mud daubers. They are a wasp which builds it's nest by forming wet dirt (mud). They are also called Mud Wasps. They are not terribly aggressive. Usually I just knock off the nest when I see them on my home. Cleaning off where they attach themselves can be a chore- usually it leaves a stain I cannot get off.
This is a mud dauber nest. It is built by a wasp in the family Sphecidae, though other mud daubers with different shaped nests can be from some other families. Each cell of the nest is filled with spiders that are paralyzed. The female wasp lays one egg in the cell and the larva eats the spiders. The female flies to a pond or other water source where the bank has clay. She gathers a ball of clay and flies back to the nest. She works the clay in her jaws and adds it to the nest. She flies back and forth until the cell is finished. Then starts on a new cell. Stings are uncommon, but possible.