How hard would it be to live in a cave, assuming you have other amenities of city life available to you?

I live in Montreal, and there's a big mountain in the middle of town. (hence Montreal -- Mont. Royal!) I've heard of some hobos squatting in a small cave near a large cathedral, where they even had basic furniture and some way of generating power.

If I could find a similar cave or grotto or otherwise secluded area to camp in, would it be difficult to convert into a useful living space? I'm not talking tile floors and central air, but having a warm shelter where I can rest, work and maybe even play