At the core, they are "let's pretend" with a few rules to make things fair for the other players.
Certain fanatical religious cults feel threatened by these games, as they allow the player's true morality to take effect, without the safety net of social punishment. (i.e. In the game you can rob a bank, shoot all the police, summon the devil to take you away and get back in time for tea...)
One thing to remember when dealing with these games, regardless of genre, is that THEY ARE NOT REAL.
True, some weak minds may be effected by the illusory world created in the process of playing a game - but the same weak minds would probably be effected by reading a good book, watching Childs Play II (or Watership Down, brrr, scarey!)or by the voices constantly muttering in their own imagination.
The rules to the games are inconsequential as they merely impose limits on the players' characters. They tell you what you can and can't do, given your scores in strength, agility, looks, intelligence and training.
The heart of the RPG is the actual role-playing or, as I like to call it, guided improvisational acting. You take on a part, as in a play, and try as hard as you can to stay in character as the referee (dungeon master, games master etc. blah, blah, blah.)places obstacles and puzzles in your way. It's an improvised soap opera, which like all soaps, accounts for its addictiveness.
Nothing to do with the devil at all.