My boys would *love* to sleep on the bed with us, but as my Hubby is 6 foot tall, and we only have a queen-size, they are limited to "visits" before bedtime. Once we get up for the day however, all bets are off, and we can usually find them drooling on our pillows and trying to bury their toys under the comforter.
Apollo loves to sleep under the bed. It's a good thing we have a custom built sleigh bed, it's high enough off the ground that he can wedge his big furry butt under there with only minimal bumping and lifting! He'll sleep under there all night until it's time to get up and go potty.
Zeus curls up into a ball and sleeps right by my nightstand, or if it's chilly, he'll move to the heater vent and sleep on top of it. *lol*
We have two cats as well, the female, Mysti, will sleep in bed with us until my hubby kicks her on too many times, and then she'll curl up on the window sill. Stitch, our little demon, sleeps in the laundry room. Otherwise, he'd spend the night terrorizing the house.