The wren described on the St Stephen link is Troglodytes Aedon the American cousin of our UK variety Troglodytes Troglodytes. Like most things from that side of the ditch it's larger (4.5" - 5") than ours which is usually 3.5" - 3.75". Because of it's small size and low flight it's easy to not to notice them. They also often over-winter in communual nests or roosts so that they can conserve heat (rather like bees) which of course their small bodies would lose rather fast.

I can remember a story about the wren, where it was the only bird to sit right through the instructions on nest building and that is why it builds it's elaborate fully covered over construction.