Hellish Projectile looks like a white, blazing orb and is fired in a straight line. An 'incoming missile' sound can be heard as well.
Hellish Projectile can be very dangerous as it deals horrible damage, usually killing Hirelings and minions in a single hit. Players can expect to relinquish at least a third of their health. Mephisto only uses Skull Missile when at range, so closing in on him should remove the danger.