Any
wood seems to work fine.
Holes between 1/8" and 1/2" work. Different sizes attract different species of
bees and/or wasps. Around here, the leaf-cutter bees are most happy with 15/64, but that's close
enough to 1/4" that I use the slightly bigger bit. Predatory wasps use the 1/8 and 1/2 in holes.
Mason bees use 1/4" holes.
I drill holes as deep as my drill bit, or as the wood, whichever is deeper. Sometimes that is as shallow as 1.25", or as deep as 6".
Getting the bees to move in is iffy... Sometimes nothing will use it for years, or one size hole will fill up, but not other sizes. Other times, every hole will get filled immediately. Depends on what species are in the area, and how desperate they are for accommodations. Old wooden barns tend to have lots of hole nesting bees in them. Setting up a nesting box in the barn is the easiest way I have found to collect lots of bees that can be moved during the winter to a new home.
In my garden, the leaf-cutter bees really go after the sunflower pollen. The predatory wasps really appreciate carrot, parsley, parsnip, fennel, and onion flowers.
The most popular sizes:
Something for everyone.
Hollow
rose stems.
One of the bee nesting sites I like most is simply a bed of deep sand which I keep free of weeds. Some species of bees burrow into it to nest. For visual appeal I grow cactus in the sand.