If Rover is burrowing in blankets you might just laugh it off, but when his digging continues in the yard, it's no laughing matter. Rather than yelling at him, understand that digging is in his genes, and that to stop him you must get to the source of the problem.
Understanding the Behavior
Don't blame Rover for his burrowing behavior, blame his ancestors. Wild canines used to burrow to create a safe haven where their pups were protected from potential predators and extreme temperatures. They also had to fend for themselves, and not knowing when their next meal would be, they would dig holes so they could hide food and return to it later. Domesticated dogs can display burrowing behavior for various reasons—maybe Rover is bored and just looking to burn some energy, maybe he wants more attention or maybe he's digging to look for a cool, comfortable spot.
The Indoor Digger
If Rover crawls under the blankets with you, he might just be looking for a safe, comfy spot to rest. If you don't want to share your bed with your furry friend, correct his behavior. Get him a cozy, cubby-style pet bed, add a soft blanket and place it in the bedroom. If he still gets into your bed, correct him and redirect him to his own bed. Another alternative is to gradually train Rover to sleep in a crate. When crate training is done correctly, the crate becomes his den and he'll be more than happy to lounge in it.
The Outdoor Digger
If you fear that Rover's burrowing fetish will make your yard look like a slice of Swiss cheese, correct his behavior. Closely observe him while he's outside and when he starts digging, shake a can of pennies and say, "No dig." The noise will break Rover's concentration, allowing you to redirect his attention to a dog toy or to a separate area of the yard where he's allowed to dig. With consistency you can teach Rover right from wrong so your yard stays intact.
Importance of Exercise
Sporadic digging might not be a problem, but if your dog seems obsessed with burrowing, and acts as if he's trying to dig all the way to China, you must investigate further. Most likely he could use some more physical and mental exercise to tire him out. Taking daily walks, playing games and allowing him to run or swim can help burn energy that he might otherwise direct toward his urge to dig. Use food-stuffed dog toys and daily obedience training to stimulate Rover mentally. As an added bonus, he gets to spend quality time with you and gets the attention he craves.
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