In the photo above you can clearly see at least 3 dark clumps high in the top branches. It is here that the squirrels retreat for protection from storms and frigid temperatures. Mostly the nests are for individuals, but sometimes 2 will share for warmth. Of course in the spring and summer the nests are used to raise the young.
The nests are made of twigs roughly woven together in the crotch of a few branches. Then dry leaves and added and sometimes vines, feathers or moss. Reportedly they are quite robust once complete, but I much prefer my heated and water-proof home.