Yeah, they are so skittish around humans normally, but once they get to know you (and that you have food), they can get pretty comfortable with you.
I have a few that will sit right by my feet while they eat their peanut, so they can get another one as fast as possible. Those guys will even take a peanut out of my hand if I offer it to them. But there is probably only one really brave squirrel out of twenty that will get that close to you, and it takes a while for them to trust you like that.
You have to be quick to draw your hand back when they snatch the peanut, too...those little claws are sharp. I found out the hard way, LOL.