GMC Yukon Denali 2003 Owner's Manual page 280

You can run the engine to keep warm, but be careful.
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CAUTION:
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 can't 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 your exhaust pipe. And check around
again from time to time to be sure snow
doesn't collect there.
Open a window just a little on the side of the
vehicle that's 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. You will need a
well-charged battery to restart the vehicle, and possibly
for signaling later on with your headlamps. Let the
heater run for a while.