Playing a creature with devotion
It will never be a creature at any point, assuming that your devotion is not high enough.

From the rulings on Purphoros:


  As a God enters the battlefield, your devotion to its color will determine whether any replacement effects that affect creatures entering the battlefield apply to that God. Because replacement effects are considered before the God is on the battlefield, the mana symbols in its mana cost won’t be counted when determining this.


and


  When a God enters the battlefield, your devotion to its color (including the mana symbols in the mana cost of the God itself) will determine if a creature entered the battlefield or not for abilities that trigger whenever a creature enters the battlefield.


So if Purphoros itself brings your devotion to red to 5, then triggered abilities that trigger upon a creature entering the battlefield will trigger, but replacement effects that happen as a creature enters the battlefield will not.

It isn't clear which ability you mean by "does this ability work in a graveyard"... if you mean the "As long as your devotion to red is less than five, Purphoros isn’t a creature." ability, then no, this doesn't function outside the battlefield. But that doesn't matter, because something cannot be a creature until it is on the battlefield anyway.


  604.2. Static abilities create continuous effects, some of which are prevention effects or replacement effects. These effects are active as long as the permanent with the ability remains on the battlefield and has the ability, or as long as the object with the ability remains in the appropriate zone, as described in rule 113.6.


It may sound like this is a characteristic-defining ability, which would function outside the battlefield, but it's not:


  604.3. Some static abilities are characteristic-defining abilities. A characteristic-defining ability conveys information about an object’s characteristics that would normally be found elsewhere on that object (such as in its mana cost, type line, or power/toughness box) or overrides information found elsewhere on that object. Characteristic-defining abilities function in all zones. They also function outside the game.
  
  
    604.3a A static ability is a characteristic-defining ability if it meets the following criteria: (1) It defines an object’s colors, subtypes, power, or toughness; (2) it is printed on the card it affects, it was granted to the token it affects by the effect that created the token, or it was acquired by the object it affects as the result of a copy effect or text-changing effect; (3) it does not directly affect the characteristics of any other objects; (4) it is not an ability that an object grants to itself; and (5) it does not set the values of such characteristics only if certain conditions are met.
  


It wouldn't have any meaning outside the battlefield anyway, because a card not on the battlefield is never a creature:


  109.2. If a spell or ability uses a description of an object that includes a card type or subtype, but doesn’t include the word “card,” “spell,” “source,” or “scheme,” it means a permanent of that card type or subtype on the battlefield.