Very, very common- we live in the woods, so our main nemesis is squirrels. I've had the little buggers build nests in my car's heating ducts TWICE, my husband's truck's air cleaner once, and we once had to disassemble the center console in my Mom's car to remove one they built there.
Something I did notice, though:
I got the nests when I was parking next to our woodpile. For no particular reason, I began to park at the front of the house instead and haven't had a nest since. Could just be a coincidence, but I've wondered if I hadn't inadvertently moved out of the squirrel's "neighborhood".