Blue-winged olive (Serratella ignita)_3
Eastern Biella province, Piedmont, Italy. 22nd June 2012.
These insects, a type of Ephemoptera (mayflies), are mainly females at the imago stage, which have been caught in a spider's web during their nuptial flight. The web has broken, probably due to the weight of the insects.
Many thanks to damiano68 and RobertoPE at the Natura Mediterranea forum for the ID.