Formally known as the "Richtat structure," the Eye of the Sahara is in Mauritania. Scientists are still trying to confirm how it was formed, but they think it's the eroded remains of a giant dome of rock. If so, it would have originally formed when magma pushing up towards the surface of the Earth created a bulge, like a pimple.
Each band of the ring is made of a different type of rock that erodes at a different speed. It's also the "almost home" signal for astronauts landing in Florida. In fact, astronauts are mostly responsible for teaching us there's something there in the first place, since the formation is difficult to recognize when you walk over it.