This is NGC 2359, or more popularly known as Thor's Helmet. The helmet itself is 30 light-years across, so it's deity sized (though, maybe a little too big for Chris Hemsworth to wear). It's located in the constellation Canis Major and is located about 15,000 light-years from Earth.
The object itself is an emission nebula that is powered by a Wolf-Rayet star (HD 56925) located at the center. The star is shedding off it's outer layers like there's no tomorrow, which is a natural part of stellar evolution as it dances inside the "pre-supernova" stage.
Solar winds from the Wolf-Rayet star, as well as gravitational interactions between the nebula and a nearby molecular cloud, help to give the helmet it's shape (particularly, the wings of the helmet).