The cactus wren is an exception. The male and female build a selection of domed stick nests in the cactuses in their territory, usually in prickly pear or cholla. You can see a nest hole in the middle of this photo of an old-man cactus.
The nests provide good protection from weather and predators so after the breeding season is over the wrens continue to roost in them. Most of the time the cactus spines keep the birds safe, though some very careful climbing snakes can successfully raid the nests.
Roosting in one's nest may be a wren trait. On Sunday Marcy Cunkelman told me that a Carolina wren is again roosting in the woven nest on her front porch.
Have you noticed this among wrens in your area?
(photo of nest in the public domain on Wikimedia Commons; photo of cactus wren by Mark Wagner from Wikimedia Commons. Click on each photo to see its original.)