It's a fly maggot that gets inside the leaves and munches its way along leaving empty trails as it feeds, called a leafminer (lots of different plants get them, but this one is specific to daylilies). It's a new daylily pest that somehow got here from Asia - if I recall correctly the first "sighting" in North America was as recently as 2006. Below is a link to more info. If you're squeamish about maggots don't look at this just before eating
http://www.daylilies.org/ahs_d...
