DOS device files and Windows

Does Windows no longer have DOS device files? I redirected a program's output to nul and it actually created a file named "nul". Then I tried to delete the file through the GUI and got the error "Cannot delete nul: The parameter is incorrect". Huh.

It matters whether or not I am in Cygwin. DOS device files are emulated by cmd.exe and apparently filtered by Windows Explorer, but Cygwin can manipulate them without any difficulty. s_alanet at e2 discusses how this half-baked implementation of DOS device files can be used to DoS a file server by creating a file that cannot easily be deleted.