What is it with the word "squirrel"? I've even seen english people and americans having a good laugh with German visitors and guests by asking them to say that word.

And of course, it's very funny. There's no way to say it correctly.
Like Massachusetts.
Or the Japanese "Ryokou" (travel). It always comes out as "Rr-yokou" or "Ri-yokou". "Ryo" as a single syllable is impossible.

Any words that people with other native languages can't pronounce?
In Germany, we have great fun with making people say anything with "ü". French and Turks have no problem, almost everyone else does.