Wasp make their nest out of chewed up mud and wood which is what gives their nest such a distinct look.
Wasps all die in the winter except for the queens who hibernate (usually underground) and restart the colony in the spring.
No. They make nests slightly underground. Have you seen any with wings?
Hedgehogs live in dens which they dig underground, during hibernation they build a nest called a hibernaculum.
underground burrows
underground
termite
Ant
underground burrows
Not always, they use cavities in trees and grassy banks, but also live in disused insect nests.
It could be a nest or hive.
Insect nest balls that are found hanging from a tree leaf are usually a hornet or wasp nest. Hornets and wasps are extremely aggressive, and should be dealt with at night.