If you thought shooting beautiful water droplets is hard, how about shooting a water droplet colliding with a pellet?
Does not sound too trivial, right? At the end it has to do a lot with timing. In addition to you need to time the strobe and droplet, now you also need to time the pellet.
Maurice Ribble of CameraAxe did an entire walkthrough on how to make such magic happen in the video below. It is not a fast pace polish video, but rather a very meticulous detailed explanation and fine details on how the entire contraption works and how to make one yourself.