In my experience what they like is sunflower hearts. I put special squirrel food and nuts out for them in a feeder of their very own last winter and they just ignored it and kept raiding the feeders.
Here is one of this year's young. He/she hasn't quite got the hang of the feeder yet - sorry about the anthropomorphism, but it should be captioned: "Help! My periscope is upside down!"
The string (now replaced with wire) is to stop them pushing the bottom off the feeder.
