The ideal hole size for mason bees (Osmia lignaria) is 5/16th inch diameter and 6 or more inches deep. A "brad point" drill bit will make nice clean holes. The female mason bee lays the new females first (in the deepest part of the hole). If the hole is at least 6 inches deep she will usually lay at least two females. If the hole is shallower, she will only lay one female. After laying the females she fills the remaining space with males. The more females, the more bees for next year. Females also do a lot more pollination because they are gathering nectar and pollen for stocking the new nests. There is an excellent and inexpensive book on mason bees available from Knox Cellars:
The ideal size for leafcutters is acutally 1/4 inch, but they will use the larger mason bee holes without complaining. A 3 - 4 inch depth for leafcutters works fine.
For the other hole nesting native bees, there really isn't enough information available yet to define the ideal hole sizes. I would encourage anyone interested in providing nesting places for these bees to experiment and find out what works best for the bees in your area. Even when there is enough data available, it is very hard to positively ID many of these species. I use 1/16th, 1/8th and 3/16th inch holes. For these small drill bits I simply drill the hole to the full depth of the bit. It's difficult to get a clean hole in these small sizes in anything other than hardwoods.
Bumblebees are great pollinators, and providing nesting places for them is a very good idea for any gardener. It's a somewhat involved process; any anyone interested in doing this would find this book to be a great help:
Beyond providing nesting places, the greatest help to native bees is a continuous source of pollen and nectar. There's no better way to do that than to use the local native plants that they have been using for thousands of years. Many of these plants (as well as the bees) may now be very scarce due to land being used for development, etc. Growing some of these plants for the bees will help them reestablish their populations and give them a better chance of survival. And that will be good for us because we will get our gardens pollinated.