santoury, you were right the first time. Being an avid fly fisherman for about 28 years now, I know a damselfly nymph when I see one. It's not a mayfly. Mayflies have gills along their abdomen and are generally fatter. Dragonfly was a good guess too, but they also have a larger abdomen. That's the tell tale sign of a damselfly. The thin abdomen and segmented thorax. Judging by the shells on the top of the thorax in your pic, he's probably only a few days from emerging. They're the cool looking bright blue dragonfly looking bugs you see flying around.