They aren't mini vacuum cleaners and they aren't the little things you find under your bed. They are whirlwinds.
Somebody posted a really huge, really cool image of these three dust devils in a row, which I've brought down to size as you see - I didn't note where I got this one from, but I do remember that someone saw them while driving and got this great shot.
They only happen in the desert. The sun beats down and heats the ground. The ground warms up, but sometimes there's a dark surface that packs in the heat right next to a lighter surface which doesn't. The heat rises from these surfaces, but the hotter air rises faster - which can create a swirling region of wind, getting faster and faster over time until it can pick up dirt and sand.
The strange thing about this image is that the lack of perspective makes it impossible to figure out how huge these devils are. Somewhere between twice the height of a fence post and four times the height of a windmill?