Though not of the sort the title may bring to mind, these are of a somewhat less fiery and more dusty variety.
Dust devils form when hot air close to ground level rises through an area of cooler low pressure air above, and are seen all over the world wherever there are flat plains and plenty of dust lying around. Considering Mars meets all the qualifications you may expect to see them there too right?
On Earth these whirling vortexes of air and dust are typically no larger than three feet in diameter, however on Mars they can be up to fifty times that, big enough even to provide a scare for the rovers currently wandering the surface of the planet.
Here (and in the above link) you can see a fantastic panorama taken from the landing site of one of the aforementioned rovers, and it quite noticeably features quite a few of our friends. I always think images such as these are particularly great as they really help to bring Mars to life, adding real dynamics to the still pictures we usually get back from our interplanetary voyagers.