Squirrels live in all continents apart from Antarctica and it is believed that feral, introduced squirrels he become extinct in Australia. Similar to a bird's nest, a tree squirrel's drey (or dray) is a tree house built from twigs and small branches, with lees still attached which they cut directly using their sharp teeth.
Their small home is quite high up and around 30cm in diameter. Sometimes they even go for mod cons and build their nest inside a large tree trunk city to keep them extra snug and dry. Ground squirrels live in a burrow system and fill it with grass to keep warm.
These underground homes he an additional bonus of giving extra protection against predators.