Most commonly seen in flat, dry areas dust devils are like "mini tornadoes", only they're harmless. They're caused when you have hot air suddenly rising from warm ground. As this air rises, it can sometimes create a little vortex of swirling air, which can pick up nearby dust and dirt, giving it a brown tornado-like appearance.
Yet, unlike tornadoes, dust devils form from the ground up and its winds rarely reach over 30-60 mph, so they aren't damaging. However, if you get caught in one, you'll likely get a mouth and nose-full of dust.