Djavo is, of course, related to the Russian "dyavol" -- devil, the accuser. Here is a word I never came across in any other Slav language: "chyort", spelled "chert". I do not know the etymology.
Yes, the Serbian "j" is equivalent to English "y" or Russian "й" (i kratkoye).
The "l" in dyavol has been lost in the eastern shtokavian dialect (spoken by the majority of Serbs), but remains in declentions, i.e. djavolu (to the devil), and in plural djavoli (the devils), etc. However, the "l" is preserved in the western (also know as yekavian) shtokavski spoken by all other Serb and Croats, thus djavol as in Russian.
As far as I know "чёрт" (chyort) is a uniquely Russian word, just as the usage of ë (yo) variation of "yat."