Blue Devils are common enemies found only in Hell.
Unlike Cavemen, they have vertical line of sight as well as horizontal, although the length is about the same. If they see you above, they will jump and ram you with their horns. As a result, they are immune to stomp damage, even when the spike shoes are equipped. They are not, however, immune to whip damage, and the whip can be used to stop, damage and stun them. If they see you horizontally, they will bring their heads down and "bull-charge" until they hit either you or a block. They charge much faster than a Caveman. If they hit a block, they will destroy it and lay on the ground, stunned for a few seconds.
In some cases, jumping/falling onto one can cause you to be caught in an endless cycle of stun locking and death like so.
Due to the dangerous environment of Hell, Blue Devils are often found dead as they are prone to falling victim to the many traps found in the area.
Trivia
The design of Blue Devils is likely inspired by the 'Blue Oni' of Japanese folklore.