I'm no dust devil expert, but they are interesting. Mars is about as close as I want to be from them, or at least tornados. It was after I moved to eastern Massachusetts that I found out this area tends to have the occasional tornado.

I think there was one that finally touched down east of where I was driving -- the clouds were angry!
Here is what NASA says about them, with explainations:
http://science.nasa.gov/headlines/y2...dustdevils.htm, which also has a better movie than the one at my favorite Picture of the Day website here
http://apod.nasa.gov/apod/ap050426.html
I'm guessing -- I just skimmed the NASA explaination above -- that with the vast plains of Mars that there would be stong winds even with a low atmosphere, and the temperature differential would be enough to get the wind going.
I wonder how easy it would be to build a "homemade" dust devil. I seem to recall seeing one at a science museum. If all it takes is heat (a lamp) and wind (a fan) in some sort of vertical tube, how difficult can it be? Science Fair project, anyone?
Also, Chief Delphi > Other > Math and Science > NASA Discussion is probably the forum to look for.
And on preview, I do remember the discussion Al mentions. I wonder how heavy a rover has to be so it wouldn't get blown over on Mars?