A very popular area of collecting for Civil War enthusiasts are artillery projectiles. The smallest would probably be case shot, made in lead or iron (the lead case shot is often mistaken for musket balls) and is about the size of a marble -- or a penny. Next up in size would be cannister balls, again in lead or iron, and about the size of a ping pong ball. Case shot was generally contained within an artillery shell and when the shell exploded, the balls would disperse with deadly force, slamming into anything in its path. Cannister was generally contained in thin tin cans (similar to a coffee can or tall beer can) and the larger balls would be dispersed in a similar manner when the powder charge ignited, creating havoc and inflicting severe harm. Naval or field grapeshot is next in queue and sizes are about the same as tennis balls today--with an obvious deadly effect when raining down from above a soldier's head.
There are cannon balls which can be either solid shot (meaning they are made of solid iron) or hollow balls with time fuzes. The shot was meant mainly for disabling field artillery or smashing apart solid fortifications. The hollow shells were filled with gunpowder which exploded the outer walls into deadly iron fragments in the field, generally bursting above the heads of the enemy. Cannon balls range from the small 6-pounder (a bit smaller than a softball) to the huge 15" projectiles (larger than a basketball). Few projectiles any smaller or larger were used as primary ordnance during the Civil War years.
In addition to cannon balls, there are scores of types of rifled projectiles. These shells and solid shot (called "bolts") are elongated and generally have a sabot (or base) of soft brass, copper or lead to grip the rifling in the cannon barrel. (Note: most round cannon balls are fired from smoothbore cannon although there were rifled cannon which fired round balls affixed to sabots of wood) . Rifled projectiles were far more accurate and had a far longer range than round balls.
There was also extensive use of mortars (very short barreled cannon) which lobbed shells in a high arc when fired, enabling them to drop over elevations and behind fortifications and into trenches. Most mortars are large compared to cannon and shells ranged from 8" to 15" as a rule.
The Civil War saw limited use of rockets as well, the most famous being the "Hale." The rockets were not very accurate and had many ignition problems--they did not see a lot of use in the field at all.
Projectiles are easily referenced by several books, some of the best written by Tom Dickey and Peter George entitled Field Artillery Projectiles of the Civil War and Heavy Artillery Projectiles of the Civil War. Confederate projectiles as a rule command far more interest to collectors and are more expensive.
When collecting shells, CAUTION is the key word. Many of the shells are still very much LIVE today and can still explode! Never attempt to disarm a shell and beware live ones in general--a hard strike, heat or a loose spark can destroy your house and everybody in it. You should also avoid shells which have been recovered from the water. They look good for a little while, but will literally disintegrate before your eyes, especially those recovered from salt water.
A common Parrott Rifle shell