The Lakota call it Mato Tipila, which means "Bear Lodge."
Other names are Grey Horn Butte, "He Hota Paha", or Bear Rock.

The Legend of its creation:

Devils Tower, with the Belle Fourche River in the foreground. Wyoming Official State Travel Website.

Long ago, two young boys found themselves lost on the great prairie. They had played together one afternoon and had wandered far out of the village. Then they had shot their bows still farther out into the sagebrush. Then they had heard a small animal make a noise and had gone to investigate. They had come to a stream with many colorful pebbles and followed that for a while. They had come to a hill and wanted to see what was on the other side. On the other side they saw a herd of antelope and, of course, had to track them for a while. When they got hungry and thought it was time to go home, the two boys found that they didn't know where they were. They started off in the direction where they thought their village was, but only got farther and farther away from it. At last they curled up beneath a tree and went to sleep.They got up the next morning and walked some more, still traveling the wrong way. They ate some wild berries and dug up wild turnips, found some chokecherries, and drank water from streams. For three days they walked toward the west. They were footsore, but they survived. How they wished that their parents, or elder brothers and sisters or tribe would find them as they walked on what is now the plains of Wyoming. But nobody did.On the fourth day the boys suddenly had a feeling that they were being followed. They looked around and in the distance saw Mato, the bear. This was no ordinary bear, but a giant bear, so huge that the boys would make only a small mouthful for him. He had smelled the boys and came in search of that mouthful. He came so close that the earth trembled with each step he took.The boys started running, looking for a place to hide, they found none. The grizzly was much much faster than they. They stumbled, and the bear was almost upon them. They could see his red, wide-open jaws full of enormous teeth. They could smell and feel his hot breath.The boys were old enough to have learned to pray, and they called upon Wakan Tanka, the Creator: "Tunkashila, Grandfather, have pity, save us." All at once the earth shook and began to rise. The boys rose with it. Out of the earth came a cone of rock going up, up, up until it rose more than a thousand feet high, and the boys were on top of it. Mato the bear was disappointed to see his meal disappearing into the clouds. This grizzly was so huge that he could almost reach to the top of the rock when he stood on his hind legs. His claws were as large as a tipi's lodge poles. Frantically Mato dug his claws into the side of the rock, trying to get up, trying to eat those boys. As he did so, he made big scratches in the sides of the towering rock. He tried every spot, every side. He scratched up the rock all around, but it was no use. They boys watched him wearing himself out, getting tired, giving up. They finally saw him going away, a huge, growling, grunting mountain disappearing over the horizon. The boys were saved by Wanblee, the eagle, who has always been a relative to our people. It was the great eagle that let the boys grab hold of him and he carried them safely back to their village.

This is just one version of many!