There are many different kinds of squirrels, but most squirrels, such as the gray squirrel, red squirrel and fox squirrel, build their dens in the sides of trees while ground squirrels typically dig dens underground. A common squirrel den will be outfitted with moss and leaves in order to better camouflage the den while keeping it comfortable and warm as well.
Squirrels that exist in hot climates focus on burrowing their dens in areas that are free from sunlight and closer to the ground. Ground squirrels retreat to their dens for up to 5 months during the winter time in order to stay warm. Tree squirrels, on the other hand, do not hibernate, but instead focus on building better nests with the idea of staying as warm as possible during the winter months.