Thank you to the Maine Master Naturalists who knew what this is, or made an educated guess. I never considered the Red Squirrel, and there are at least four to be seen at almost any moment in the yard. Here are the first photos I took after reading the suggestions and – I think this it the one!
another photo of same Red Squirrel tail, minus its tip
Segmented parasite? (which I am holding by its head?)