If they are lilies, you might have asparagus beetles:

http://www.oznet.ksu.edu/dp_hfrr/ext...s/asparagu.htm
http://entm29.entm.purdue.edu/acorn/...paragus_Beetle

This site has info on other daylily pests:

http://www.daylilies.org/ahs_dictionary/pests.html