It is some kind of fly, as opposed to a bee or wasp.

Looks suspiciously like some of the prank insects my former students (all adults, mind you) would pull on me when their insect collections were due at the end of the semester. "Let's see, take the head of this one, and the abdomen of this one...."

Seriously, how big is this thing?

That is a very strange looking bug. Where was it photographed? I would suggest that the little, light coloured knob extending from the thorax is a pollinaria from an orchid. It may be a symbiotic orchid fly.
Need to know the region!

The light colored knob extending from the thorax is one of the halteres. They help maintain balance. Fascinating picture but I am unable to identify the fly.

Mark, the haltere is what clearly identifies this insect as a true member of the order Diptera. It's the modified vestige of the second pair of wings found on most other flying insects. Also look at antennae and eyes to eliminate the chances that this strange thing is a Hymenoptera (wasp, etc.).