Essentially it's like Santa wearing a red suit- it's a 19th Century, and largely American - invention. Up until the end of the 18th Century, the Devil had wings and horns, but carried either a club or a staff (relating to magician's staves, of course) or a spear - as in pictures like this (which for some reason I can't actually post, as trying gives me an error message telling me to fix an error that it doesn't actually identify):

http://i52.photobucket.com/albums/g1/Lonemagpie/TheDevil.jpg