An orange sawfly, possibly a willow sawfly, Nematus sp (Hymenoptera: Tenthredinidae), based on similarities with photos here and here, and the wing pattern here. Only a tentative identification. On the web you will find far more photos of sawfly larvae than of sawfly adults, which presumably is a result of their importance as an agricultural pest.
[Note added 2012-06-12: It could also be a banded alder sawfly, Hemichroa crocea (Hymenoptera: Tenthredinidae).]
[Note added 2013-04-13: If you go by the types of trees in the area it is more likely to be an alder sawfly than a willow sawfly.]
Photos taken in Whiteknights Park, Reading University grounds, Reading, UK, on 2010-06-02.