Those are asiatic beetles, the bain of those of us who love Lilies...they only go after the oriental lilies. Because they are an imported species (both the lilly and the beetle) there are no known predators for the beetle.
Lots of different suggestions though. Here's a link for the gardweb thread for asiatic lily beetles...
I try to be as natural as possible and use the murphys oil soap on the plant itself. The beetles live below the ground surface so i use diluted ammonia around my lilies.
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