The Devil is an antagonist who appeared in several sketches of the Muppets Show, normally as part of a famous song - he is a more family-friendly version of Satan from religious lore, softened in order to make him less frightening for younger viewers.
The Devil Went Down To Georgia
The Devil appeared as the main antagonist of a retelling of the famous song "The Devil Went Down To Georgia" in which he tries to rob a man of his soul by arranging a fiddle-contest.
You're No Good
The Devil appears again in a sketch involving an angel who is singing the song "You're No Good" - only for it to be revealed that she and the Devil are an item (presumably making her a fallen angel, though this is never mentioned outright).