Pet squirrels are legal in SOME states and places. Most states ban them as being kept as pets.
More importantly, most squirrel species are feral and vicious. Grey, red, whatever, they tend to be sweet as babies but become extremely vicious once they grow up. Chipmunks make better pets than most but are still rather wild.
Really, the only species that make decent pets are the flying squirrels. The most commonly kept as a pet is the Southern Flying Squirrel. If you buy it CAPTIVE BRED (be sure of this, lots of people steal wild squirrel's babies to make a buck which is disgusting) from a very young age and bottle raise it, it can become an extremely sweet pet. This being said, they are highly complex and difficult to care for and very time consuming. They can climb anything and will sit at the top of your curtain pole shredding your curtains and generally destroying everything they can get their teeth into. They are cute and funny, but a lot of work.
The other species that make OK pets are ground squirrels, specifically prairie dogs. Again, you need to buy these guys very young, and captive bred for them to be good pets, but they are another option for you if you don't specifically want a tree squirrel. You can get other species of ground squirrel as pets, like the richardson's ground squirrel but they aren't really as friendly as prairie dogs.
For further info on "pet" squirrels, this is the place to go: http://thesquirrelboard.com/forums/index.php it has a section devoted to pet squirrels.