I see them walking the power lines in my neighborhood all the time. What keeps them from being zotted?
Tiny little insulated rubber booties.
First you must understand that the goal of electricity is to find the ground. It will follow the path of least resistance to get there.
While the squirrels are "walking the power lines" the electrical current flows through the insulated wires as detouring through the animals would cost rather than conserve energy. It is only when the little beasts are touching the wire and, say a power pole that they complete the circuit and allows the electricity to flow to the ground in a shorter path than continuing across the wires, through the substation into your house and to the ground.