What we know about our mammal ancestors that were alive (and survived) at the extinction event 65 million years ago?
Many of them looked like little rodents. However, several distinct mammalian lineages were already present, including Monotremes, marsupials and placental mammals. Throughout the whole mesozoic era, mammals were already quite diversified! Also, even though most of the mammals that survived the K/T boundary were rather small, there were already some larger mammals around in the Cretaceous.
Here is a nice picture of a symmetrodont:
See a nice page on early mammals.
A recent genetic analysis suggests that they were probably bigger that we thought before :
In a 2013 study, that combined genetic data and morphological data, the last common ancestor of placental mammals was estimated to be a four-legged creature likely ate insects, weighed from 6 grams (about the weight of some shrews) up to 245 grams — and was more adapted for general scampering. Also, its cerebral cortex — the part of the brain linked to higher mental processes — was probably convoluted, folds linked with greater brain activity, http://www.livescience.com/26929-mama-first-ancestor-placental-mammals.html
The same study estimates that this ancestral creature arose some 200,000 to 400,000 years after the end of the age of dinosaurs. This is in line with what paleontology suggest... but is in contrast with other studies based purely on genetic data, which puts the last common ancestor of placental mammals 36 million year before the dinosaur extinction. (which depends on how accurate you can estimate the speed of the genetic clock which is dependent on number of generations and thus the lifespan of the animal...faster in fast breeding, short lived animal. Slower in long lived, slow breeding animals)