Most animals that have managed to adapt to cities are pretty intelligent; raccoons, for example, are curious and bright animals. But even the ubiquitous grey squirrel shows a great deal of cunning--and it's mostly shown through its finely honed sense of paranoia.
Grey squirrels have been shown to engage in fakery--they'll make elaborate burials, like the ones they'd make to store food, only they'll have no food in them. A Wilkes University study found that about a fifth of all squirrel food burials are fake-outs, and that percentage goes up when the squirrel is being watched. It's the only study to show behavioral deception in a rodent.
Wild ground squirrels in the western United States show altruistic behavior as well. Ground squirrels have two kinds of alarm calls: a "whistle," for avian predators, which causes all squirrels to dash into their burrows, and a "trill" for ground predators, which causes all squirrels to "post" and look around to see what's going on. The whistle is selfish; with all the movement, a predator can't really tell who gave the alarm. But a trill brings the most attention on the alarm caller. As it turns out, females are the only ones who give the dangerous trill alarm--and often when near vulnerable youngsters.