Here are many functions with double underscores before the name:
__construct,
__destruct,
__call,
__callStatic,
__get,
__set,
__isset,
__unset,
__sleep,
Underscoritis. In PHP underscores have been used in various places, for example as prefix in the $_XYZ superglobals.
The method names you listed are magic methods. To make them look a bit more special they have been prefixed with two underscores. - That's what usually happens when the usage of one underscore as announcement is already too widespread. This naming pattern is not specific to PHP.
You can still define your own functions with two leading __
, but you shouldn't to avoid confusion with real magic methods or future language extensions. (Though that's not very probable.)