l have found what looked like spots of mud, with little maggots inside on the leaves of some of my lilies.
Can you tell me what they are, and what should I do to get rid of these?

The maggot is the larva of the lily beetle, which have the unpleasant habit of covering their bodies with their excreta as a form of protection.

Spray with a suitable insecticide.

Next year, keep an eye open for them in late April and again in June.