The “things” attached to the bee’s feet (tarsi) are a part of the milkweed blossum called pollinia. Each pollinium is a pollen packet designed to attach to insects and be carried to other blossoms. Sometimes the bee is caught in the blossom itself and other times the pollinium and tarsus gets tangled in silk from previous spider and insect visitors.
See http://bobklips.com/earlyjuly2010.html for more images and information about milkweed pollinaria (which includes a pair of pollinium and the structure that houses it). See http://www.bobklips.com/earlyjuly2009.html#7jul09 for videos showing pollinium removal and insertion.