My Basset does this and I'm so afraid he is going to suffocate. He doesnt usually sleep with me but sometimes he hops up in the morning and works his way down to the bottom of the bed. He loves to snuggle with blankets and stuffed animals, so I'm sure he loves being snuggled at the bottom of the bed. Its good to know other dogs do it too.
My old dog used to sleep with JUST his head under his blanket. He would curl up on the floor with the blanket twisted around his face, but his entire body sticking out. It was the funniest thing- not sure if it was a security thing or if it just wasn't dark enough with his head out, haha.
My Birdie (JRT) sleeps with us and always goes under to start the night. My husband being a human furnace, she eventually makes her way up and pops out, panting heavily, and climbs over and sprawls on her belly, hind legs behind her, just over the edge of the cover. Its predictable and hysterical.
I've got a dalmatian that does this too-sleeps under the heavy comforter when he gets on the bed. We gave him his own blanket for his dog bed, and every night he puts himself to bed, and somehow manages to get himself on top of the dog bed, but under his blanket. He also hogs the vents anytime the heat clicks on, hehe.