Because they have less bulk, small mammals have greater surface area per volume, meaning more surface through which heat is lost. Thus, small mammals lose heat more readily than larger animals. (Think of heating a cup of water and a gallon of water. Which will cool first?) To stay warm in winter, they must burn proportionately more energy, all this in a season when food (read that: fuel) is harder to come by. One solution is to shut down all the systems that require fuel. In other words, hibernate.
In late summer and fall, hibernating mammals feed constantly to put on the fat which must carry them through winter. High altitude species, like marmots, may enter hibernation in August and not become active again until May. The hibernation den is below the frostline where temperatures remain fairly constant. Once in the den, the animal's body temperature drops to within a few degrees of the surrounding temperature. Breathing may be as shallow as one breath a minute and the heart may beat only a few times a minute. Hibernating uses only an estimated one seventh of the energy of remaining active. Upon emerging from hibernation, the animals are very emaciated, but gain weight quickly.
Patterns for hibernation vary greatly between species. Some hibernators, like chipmunks, awaken periodically and become active. Some store food in the burrow to feed on when they rouse. Most of our Colorado bats probably hibernate instead of migrating. Big brown bats cluster together in large colonies (sometimes 100,000 animals) in mines and caves. By reducing each individual's exposed surface area, they reduce heat loss.
CAUTION! If you come across bats hibernating in a cave, mine, or even an old building, leave them alone! 
The energy required for the bat to "rev up" its metabolism to react to a disturbance can deplete so much stored fat that the animal may starve to death before food is available again in spring.
Like any survival strategy, hibernation has its price. One third of adult ground squirrels, and two thirds of immature animals, do not survive till spring. They either freeze when their supply of stored fat is used up, or they are dug up and eaten by predators.
The winter strategy of raccoons, skunks, and badgers is not fully understood. They don't completely hibernate but go into periods of deep sleep which conserve energy. They are active during good weather.
Other Hibernators: golden-mantled, 13-lined and Wyoming ground squirrels; meadow jumping mouse; white-tailed and Gunnison's prairie dogs; Townsend's big-eared bat, California myotis and pallid bat