The Japanese word translated as 'demon' in nearly all English dubs is the word Youkai. This word can actually be translated as one of eight different English words: ghost, apparition, phantom, spectre, poltergeist, demon, monster, or goblin. In the dubs the word 'demon' is chosen because it sounds 'coolest'. It is more exciting and well known.
However, these 'demons' are not from hell, they don't work for Satan, they can die, and not all are evil (they have a choice just like us). They simply live longer than humans, have different - and varied - features (such as incorporating animal features), and have abilities humans do not (such as moving extremely fast, jumping extremely high, creating energy discs, etc.) Thus the most accurate translation is either monster or goblin. But we don't use it because monster/goblin equals stupid and ugly in western cultures, so it doesn't sound as cool.
My point? Don't freak out when you hear/read the word 'demon'. Know that it just means a creature much like humans, but with special abilities.