In addition of device nodes explained in other answers (created with mknod(2) or supplied by some devfs), notably the one from Sepahrad Salour, Linux has other "magical" files provided by special virtual file systems, in particular in /proc/ (see proc(5)) and /sys (read about sysfs).
These pseudo files (which appear as ordinary files, not as devices) are a virtual view provided by the kernel; in particular, reading from /proc/ (e.g. with cat /proc/self/maps, or by open(2)-ing /proc/self/status in your program) generally does not involve any physical I/O from disk or network, so is quite fast.
To create some additional pseudo-file in /proc/ you generally should write your own kernel module and load it (see e.g. this)