The Eastern Gray Squirrel is very common throughout eastern North America. They can be found anywhere there are large trees, often in neighborhoods and parks. They generally have grayish fur with a long puffy tail, but there's also a black, melanistic variety common in some areas.
They eat and cache nuts for the winter, so they'll often be seen digging. They are also very good at emptying out bird feeders. They nest in trees. Sometimes that large bird nest in the tree is actually a Squirrel nest.