Answer: Morulae (bacterial clusters) of Anaplasma phagocytophilum within neutrophils. As noted by Anonymous, the morulae of E. ewingii are also found within neutrophils and can look identical to Anaplasma morulae; thus the diagnosis should be confirmed by another method. In this case, real-time PCR confirmed the diagnosis of Anaplasma phagocytophilum. Serology can also be used, although there is cross-reactivity between Ehrlichia and Anaplasma and the titers for antibodies to both organisms should be examined to see which is higher (thus indicating the more likely cause of infection).
I decided to show this case, even though it isn't a parasite, since intra-leukocytic morulae can be seen on the same peripheral blood films that are made to look for malaria parasites, trypanosomes, and microfilariae. It is also possible to see (rarely) Borrelia spirochetes of relapsing fever. Therefore, it's important to look at all of the cells (and between them!) when examining a peripheral blood film - you never know what you'll find.
A word of caution - not all blood film preparations are suitable for visualizing morulae inside of leukocytes.The Giemsa-stained preparations in my laboratory have been optimized for detection of intra-erythrocytic parasites; they do not demonstrate leukocytes well. The morulae of this case were actually seen by my hematology colleagues on their Wright-Giemsa stained films. I examined blood from the same patient (same collection) by our Giemsa method and was unable to find any morulae.