The level of comfort one has with the idea of a small rodent underneath their home is going to vary with the individual. However, the idea isn’t the real problem. Squirrels, raccoons, skunks and rats can wreak havoc on your HVAC system. Rats, for example, like to gnaw on insulation; and some of the larger animals can knock duct runs out of their connections, leaving your conditioned air to pour out into your crawlspace. This can be a real problem for homeowners. You could end up flushing your money down the drain every month through your utility bill. When ductwork is knocked loose or insulation is removed from the runs, you can see the efficiency of your system drop dramatically.
Make sure your HVAC system is installed with a critter guard to prevent small animals from crawling under your heating and air conditioning unit. And be sure to verify that your HVAC unit is installed properly, with no openings found around the duct leading from the system to the crawlspace of your home.