Rhetorical devices are the use of language to convince or persuade. They concern various aspects of the way language is organized, some of which include delivery, style, and arrangement of words and sentences. Frequently, rhetorical devices can be found in the form of questions to which no answers are expected. An example of effective use of rhetorical questions can be found in this excerpt taken from Shakespeare's play, "Merchant of Venice",
a Jew eyes? hath not a Jew hands, organs,
dimensions, senses, affections, passions? . . .
If you prick us, do we not bleed? if you tickle us, do we not laugh? if you poison us, do we not die? And if you wrong us, shall we not revenge?" (III,i,55-63)
In this illustration, Shakespeare has used a series of questions to influence readers' feelings about how Jews are perceived. He is emphasizing that a Jew is no different from anyone else, sharing the same physiognomy, sensitivities, and passions. Shakespeare does not expect answers to his questions; he uses them rhetorically, to raise questions in readers' minds and to hopefully instigate a train of thought whereby the reader will come to a conclusion that is contiguous with his own - in this case, that there is no difference between a Jew and the rest of humanity.
(example taken from enotes' definition for "rhetorical question", referenced in second entry below)
Ethos, pathos, and logos are the three rhetorical devices of persuasion. Ethos means appealing to credibility, pathos means appealing to emotion, and logos means appealing to logic. A good persuasive argument will establish authority ( ethos ), tug on the heart-strings so to speak (pathos), and use true facts to support an opinion (logos).
Rhetorical devices is use of language that creates a literary effect. Rhetorical devices include alliteration, paradox, metaphor, simile, rhetorical questions.
Rhetorical devices is a broad term that is used as an alternative but not an equivelant to literary devices, literary being the wider in sense. Rhtorical devices include, but are not limited to, alliteration, metaphore, paradox, simile, zeugma.
For more information, refer to:
M. H. Abrams' A Glossary of Literary Terms and J. A. Cuddon's A Dictionary of Literary Terms.
P.S.: dymatsuoka's answer applies to rhetorical question which is different from rhetorical devices.