What is the Devil Walker in Destiny?
The Devil Walker is a heavy artillery vehicle used by the Fallen. You can basically describe it as a tank. They are heavily armoured so the best way to take them down is as a collective unit with other Guardians.
Devil Walkers are dropped into battle by Fallen carriers in a fashion similar to how Pelicans dropped off Warthogs in Halo games. The Devil Walker does a kind of somersault flip as it is released from the carrier, landing on its legs.
Here's a concept art picture of the Devil Walker: