Dogbanes, while in their own family, the Apocynaceae, butt right up against the milkweeds on the family tree, and one can see the similarities in leaf structure. Rupture a leaf, and you'll stimulate the flow of thick milky latex, just as in milkweeds.
This strange-looking wasplike thing is actually a moth, and it probably hopes that you and everyone else thinks it really is a nasty stinging wasp. Mimicry of a six-legged bad boy that might pack a punishing sting is a good ploy if you are a moth that boldly flies during daylight hours, as this one does. It is a grapeleaf skeletonizer, Harrisina americana, a fairly common species whose caterpillars feed on various grapes, and Virginia creeper.
All three of these interesting day-flying moths are on the wing now. Investigate some dogbane patches, and you'll probably find at least one of them sooner than later.