Wikipedia calls it a 'blowing horn' (yawn!), we have previously called it something that sounds like a pygmy elephant (descriptive?) but no matter what you call it, it is a sound that you won't forget in a hurry - especially when there are a few hundred of them surrounding your head.
'They' have tried to ban them at stadiums (I can understand why) but at the end of the day it is all about fun and noise and giving your team all the support they can (especially if you support Bafana Bafana - they need it). ;)
The Europeans sing, the South Americans have huge flags, the Aussies have their face paint... well us Africans.... we have the Vuvuzela!