Something sturdy, that they can be closed into, with good ventilation - half inch metal hardware cloth over all openings - and in cold weather, something well insulated with plenty of room for extra extra bedding. I kept a thermometer in the outdoor duck house and that's how I knew that the ducks were not thriving below 35F - so I moved their night pen into the walkout basement where it stays above 40F, and they do quite well. Not all ducks need this - each flock is unique - I have a number of ducks that don't do well below freezing, so everyone stays in a fairly mild shelter at night.