The Devil With Many Faces

The new jersey devil was first reported in 1735, when the legend of the creature was born. This is when the supposed Mrs. Shrouds or Mrs. Leeds, depending on the story, gave birth to a child that shortly after transformed into the devil itself. Later on in 1740, a clergy is said to have exorcised the devil from the area, but the exorcism performed would only last for 100 years. Even with the exorcism; there were two-sightings of the creature before the end of the century, and one stating that he had also shot the creature through his wing. When 1840 came, the 100th year anniversary of the exorcism, the supposed devil went on a rampage. That year and the year following, the state suffered a massive loss of livestock, yet more specifically of chickens and sheep. There was also many reports of people hearing chilling screams in the night and finding strange footprints.
There are theories as to what the new jersey devil really is; if it's an actual creature or an entity of evil itself. "It has terrorized towns and caused factories and schools to close down, yet many people believe that the Jersey Devil is a legend, a mythical beast, that originated from the folklore of the New Jersey Pine Barrens" (Julian). 
  One of the theories, because of the similar appearance in the legs, is the sandhill crane. This may also be because the sanhill crane has wings and makes a loud screech. Which people may confuse for the screams of the supposed devil. Though, because the crane is a herbivore and not as tall as the new jersey devil, some people disprove this theory.
Another theory is the pterodactyl. That they had taken refuge in caves that had later been closed by earths plates, and reopened later by an earthquake. The unlikelihood of the ancient creature still existing in today’s world, though, is highly unlikely for it being extinct for already millions of years.
Some people also believe the new jersey devil is the chupacabra, because of the disappearance of livestock and the high pitch screams. But the characteristics of both supposed creatures are vastly different. The chupacabra is said to drain blood out of it's victims, but the new jersey devil has not been known to do this. Plus the chupacabra does not have wings or stand upright.
There is also talk of it being a hybrid creature, because of the different animal features it possess. This wouldn't be possible though because most hybrids are sterile and can't reproduce. "It's also hard to find the right genetic match of creatures that are capable of performing a hybrid mate. Horses and donkeys are similar species; however, you couldn't mate a dog with a bird, for example, and actually create a new animal." (Leuter)
The supernatural theory is the theory that the new jersey devil is in fact a devil itself and cannot be explained through scientific means. This is believed because the creature is said by witnesses to have shown behavior that is indeed supernatural. This would also probably be the reason why the creature cannot be captured. Though, because many people don't believe in the supernatural it's sometimes disproved by people.
One other theory is that the child born was actually just a deformed child, and in that day and age the child might of been thought of as a devil because of it's malformations. It is thought that the child actually died at a young age, and the legend just carried on with it.

Laura K. Leuter. "The Devil Hunters". The Devil Hunters; The Official Researchers of the New Jersey Devil.  2004 - 2008. Web. October 19th, 2011. http://njdevilhunters.com/

Julian, Dave. "The Jersey Devil". Shadowlands. 1995. Web. October 19th, 2011. http://theshadowlands.net/