Dust devils are small atmospheric vortexes not associated with a thunderstorms, which are made visible by rotating clouds of dust or debris. Dust devils form in response to surface heating during fair, hot weather; they are most frequent in arid or semi-arid regions. This means they look similar in structure to tornados, but they are formed by a completely different process.
As the sun heats the surface of the earth the air near it becomes warmer as well. Warm air is less dense than the cooler air above it, so this warm air eventually begins to rise. Because of uneven surface heating, the warm air has a tendency to rise in bubbles. As these bubbles of warm air rise, cooler air from above and to the sides of the bubble rush around and below to fill the void. This inrush of air can happen in a somewhat uneven manner and, as it reaches the center of the void filled by the bubble of rising air, can begin to spin. It only takes a small amount of unevenness and a fairly slow inrush of air initially to cause the spin and a dust devil to be formed.
Like an ice skater drawing in her arms to make herself spin faster, as the air gets closer to the center, it rotates faster. This is called the conservation of angular momentum. This same principle can be seen in many places from tether balls to collapsing stars.
Because the air is moving faster at the center of the dust devil, the air pressure at the center is lower than that further away, this causes even more air to be drawn in. Along with the air, it also draws in more dust and debris. As the air rushes in along the surface, it may also be heated somewhat. The combination of lower air pressure and heating causes the air, dust and debris inside the dust devil to rise.
It should be noted that dust and debris do not necessarily have to get drawn into and up a dust devil. For instance, dust devils can form over a clean grassy area and can be almost impossible to see.
Wind speeds near the centers of dust devils can range from just a few miles per hour to perhaps as much as 70 miles per hour. While that's not normally fast enough to do damage to buildings, it can easily cause the upset of a Twin Otter on takeoff or landing. Dust devils can collapse canopies in mid-air. This is particularly bad if you're only a few moments from landing. Dust devils have also been known to pick parachutes up off the ground with skydivers still attached and slam them back into the ground.