A Martian dust devil roughly 12 miles high 20 kilometers was captured whirling its way along the Amazonis Planitia region of Northern Mars on March 14...They are spinning columns of air, made visible by the dust they pull off the ground. Unlike a tornado, a dust devil typically forms on a clear day when the ground is heated by the sun, warming the air just above the ground.

via 12-Mile-High Martian Dust Devil Caught In Act - NASA Jet Propulsion Laboratory.