One may argue that every appendage is important, but in the case of a squirrel, the tail is probably the most important. It's used to keep them warm in winter, to provide shade in summer, it's a means of communication, a counterweight to balance with, a wing and parachute for jumping between branches, and a shield when fighting.

Some would suggest that the Greeks gave them the name "Shadow Tail" because they use their tail to provide shade in summer. Don't believe it though - I overheard from a friend of a friend of a friend that all squirrels are part of a secret society, a club (if you will), that goes by the name Legion of the Shadow Tails.

Yes. You should be worried. You just need to look at the pics below to know that they're up to something.