If you're ever stuck in the wilderness without shelter, one of the best things you can do to protect yourself from the cold is to build a shelter out of sticks, insulated by several feet of leaves.
Squirrels' nests (also known as dreys) look like a big pile of leaves caught on a tree branch. In the summer, they may not be much more than that. But winter nests are much more carefully constructed. The squirrels weave together twigs and vines to build a roofed living space. Often, they'll use twigs that still have leaves attached, which starts their outer layer of insulation. Then, they'll add more leaves on the outside. And they line the inside with bark, grass, leaves, and other soft materials -- even animal hair. (Your shedding dog or cat may have done its part to keep a squirrel warm this winter.)
Along with a good fur coat, this multi-layer construction is enough to keep the squirrels safe and warm on most winter nights. For very cold weather, though, squirrels may hold sleepovers, bringing friends into their nest for extra body heat. If you've ever shared a good comforter on a cold night, you know what a difference another body can make. Apparently, so do the squirrels.
This video has great close-up footage of a nest -- and baby squirrels!