My original impression from TOS was like Probert's - energy blobs. But later, that made less and less sense to me. You'd want a missile weapon to be guidable, steerable, programmable, with target sensors, proximity sensors. A physical cased torpedo is all that makes sense.
Actually, that's what got me thinking that energy-ball torpedoes actually make more sense plotwise, since photon torpedoes are so very rarely used in situations where guidance, steering, programming, target sensors or proximity sensors would need to be used.
There are four big things that bug me about them, actually:
1) Starships typically fire torpedoes from a small number of sophisticated, fixed-position launchers. They are almost always fired one or two at a time, rarely in salvos.
2) Torpedoes apparently require a considerable amount of power to use, since even Federation vessels like Defiant cannot fire them while cloaked and sometimes they cannot be used at all during low-power conditions.
3) Torpedoes do not always (or even usually) explode when they hit things; they sometimes "splash" against a target, flattening out and then disappearing altogether. This is especially the case when torpedoes hit shields. It actually appears that the torpedoes THEMSELVES do not explode, but merely cause things they hit to deflagrate on contact.
4) Phasers can be used to shoot down missiles, rockets, fighters, shuttlecraft, even regular-ass normal torpedoes. But not, for some reason, PHOTON torpedoes.
I'm leaning on the theory that "photon" or "photonic" torpedoes might be exactly what it says on the label: torpedoes that use a weaponized photonic technology. Photonic being Trek parlance for "holograms," which we know as a matter of course can be surprisingly deadly; it could be that photonic torpedoes are really just a type of extremely unsafe hologram.