I always wondered about those. I do know that they make their nest in the ground inside old mouse nests and such.

Depends on the type of bee. Carpenter bees will live in predrilled boards, others live in hollow reeds - check out Xerces.org - I think they have information on-line on building houses for native bees.

I picked up about fifty straw bales last fall for use in my garden. Went to break one open the other day, and when I handled the bale, a whole herd of bumblebees came swarming out. I decided to use a different bale. The bumblebees are still using that first bale, even though I 'disturbed it.' So, maybe a straw bale will work well ;-)

I'm not sure about the houses, but bumblebees can be very protective of there hives. It is about the only time they are aggressive. I don't mean to throw water on the idea, I'd just be a little leary of having one in my garden.