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A Brief History
Comet Shoemaker-Levy 9, often just abbreviated SL9, was mostly just your average comet before the collision, other than its orbital track's close proximity to Jupiter. Its only abnormality was its slight elongation caused by being formed from multiple nuclei. Think of it like multiple chocolate malt balls that melted together.
It was discovered in March of 1993, the 11th comet discovered by the astronomer pair - Shoemaker and Levy, a little over a year before it hit the spotlight—literally.
Further studies of this comet revealed that it was actually orbiting Jupiter. Astronomers estimate that it had been pulled from its solar orbit sometime in the 1970s, having entered Jupiter's Roche Sphere - roughly, the sphere within which things are entirely under Jupiter's gravitational sway. It was a loose orbit, and a highly eccentric one at that. This ellipse eventually swept out a path that led it between Jupiter and its innermost moon, Metis, a place where the tidal forces proved just too strong for the comet.
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The impact of Shoemaker-Levy 9 didn't happen immediately. Remember that multiple melted malt ball analogy? Well, this meant that the comet could not hold together very well under Jupiter's extreme tidal forces. In early July of 1994, it was torn apart into 21 shards with diameters of between 1 and 2 km, and probably more if you count that ones that were too small to be observed. These are the same tidal forces thought to be the cause of the Galilean moons' extreme internal instability and tightly circular orbits.
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These shards of Shoemaker-Levy 9 impacted the southern hemisphere of Jupiter between July 16th and 22nd in 1994.
With each impact, large plumes rose more than 1000 km above Jupiter's cloudtops, later easing out into large bruising dark spots as the material settled out, similar to soot after a volcanic eruption. Shock waves from the impact also rippled throughout the local Jovian atmosphere. These scars were even more easy to see than the Great Red Spot for many months.
Some comets went out with a “ballistic fireballs", others with barely a trace. These ballistic fireballs differ from other sorts of fireballs, such as the sorts you see in blockbuster action movies, nuclear bombs and meteor trails, as ballistic fireballs are formed when an object entering an atmosphere creates a zone of high-pressure gas in front of it hot enough that the gas combusts.
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Influence On Astronomy
Observing this series of impacts had a huge influence on astronomy. It was the first collision of two (significant) bodies of the solar system ever observed, which led to close observation and modeling.
Astronomers were ecstatic over how well their predictions played out over the course of the impact and afterwards, despite the fact that they had never really observed a collision before. That's not to say that all the predictions came true. An increase in the total mass of Jupiter's ring system, for instance, did not come to pass, and the fireballs were considerably larger than they had guessed.
This was also one of the first astronomical events that NASA posted information about on the web—remember when the Internet was just a brand new thing? The pictures and data were all available for public scrutiny and wonder.
How deep the shards penetrated the atmosphere, no one is really sure of—we can't exactly dive into the atmosphere and try to retrieve them. However, the plumes created by the impact did bring up material to the surface from below the immediate surface, which were studied from afar via spectrograph. Little oxygen and water was found, to the surprise of many, while sulfur and carbon disulfide both made surprise appearances along with ammonia, hydrogen sulfide, and a few other molecules.
This impact made obvious Jupiter's role as a “cosmic vacuum cleaner", that is, removing comets, asteroids and other objects that clutter the solar system. Jupiter's gravitational pull is strong enough to slowly reign in objects from a great distance away, until eventually they are torn apart from tidal pressures and fall into the atmosphere.
For more information on the impact and its effects on astronomy, Wikipedia provides an excellent overview. For a detailed discussion of each fragment's impact, along with other information regarding LS9 check out this FAQ. For a large collection of pictures at a variety of wavelengths, check out this site.