Bats roost in trees, and in many unnatural places as well. They like to hide under the leaves so that owls and other predators can't attack them. Some also like to live under the bark of trees. Bats do live in caves as well. In the Bracken Cave in Texas there are 20 million Mexican Freetail bats.
Bats also like to live in or under bridges.
For example, in Texas, there is a bridge, where millions of bats roost. In the novel Silverwing it is known as Bridge City. Bats will also sometimes live in houses and buildings. Although this isn't their natural habitat, it still provides a safe shelter for them. They will also use old mines that aren't being used anymore.