Squirrels may wait out a heavy rainstorm in their nests, while using their tails to provide protection during light rain so that they may still forage for food or play. Squirrels make nests called dreys, built high up in the trees, and these nests provide protection against rain and cold weather.
A squirrel's tail is very bushy and can be flipped up over the body to provide protection during a light rain. The tail may get soaked, but the rest of the squirrel remains dry. It's important that squirrels don't get too wet because it may become harder to control their body temperature if their fur becomes soaked.