GMC Yukon 2007 Owner's Manual page 408

You can run the engine to keep warm, but be
careful.
408
CAUTION:
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Snow can trap exhaust gases under your
vehicle. This can cause deadly CO
(carbon monoxide) gas to get inside.
CO could overcome you and kill you.
You cannot see it or smell it, so you might
not know it is in your vehicle. Clear away
snow from around the base of your
vehicle, especially any that is blocking the
exhaust pipe. And check around again
from time to time to be sure snow does
not collect there.
Open a window just a little on the side of
the vehicle that is away from the wind.
This will help keep CO out.
Run your engine only as long as you must.
This saves fuel. When you run the engine, make it
go a little faster than just idle. That is, push the
accelerator slightly. This uses less fuel for the heat
that you get and it keeps the battery charged.