A projectile is a conflagration or qi/energy blast (or kunai, etc.) that is launched, generally from afar. Hence, it is also the projectile’s move itself, or the projectile hitbox attached to it.
The very model for projectiles is the “Hadōken” (introduced in the original Street Fighter), which is supposed to represent a blast of qi. In the Western audience, though, qi is not a concept that comes to mind regularly, so the Hadōken (as well as any projectile in general) is often called a “fireball”, however incorrect this technically is (not to mention the influence of other relatively early fighting games like Mortal Kombat). Many characters in many fighting games have a projectile in similar form.
The major types of projectiles are:
Most projectiles are of this first form; many people might not even think of the other two as a possibility for projectiles.
Furthermore, projectiles may either travel through the air (Capcom style), or skim the ground (SNK style).
Some projectiles have multiple parts to them; other projectiles can do things like attack the whole screen.
3D games, being more predisposed to real fighting styles, tend to eschew projectiles. If there is someone who has them, they’re usually a boss.