My cats love to be inside anything and everything they can get into: boxes, bags, purses, cupboards, the laundry basket (empty or with clothes in), under blankets… I always thought it was a safety/comfort thing, too, but I’m not so sure. My sister-in-law got us a small cat tent from Ikea a couple of years ago, and they ignore it most of the time.
Like @mrentropy said, cats love to sit on paper as well. Whether it’s the newspaper I’m reading, the articles I have spread out on my desk, flyers that have come through the mail slot that I haven’t picked up yet, wrapping paper, whatever… they’re on it.
I have a feeling that they know when what they’re doing is silly, and they do silly things on purpose just to amuse or annoy us.