There has to be a good reason why the Gegenbauer polynomials were also named "ultraspherical" polynomials. I am aware that when $\alpha=\frac{1}{2}$, the Gegenbauer polynomials reduce to the Legendre polynomials, and the Legendre polynomials are used in defining Spherical harmonics. But that is as far as I know how to take that reasoning.
Is there a visualization of these polynomials that fits on a sphere? What is an ultrasphere anyway?
You pretty much nailed it. From here:
As a compressed version of the discussion in the book (look there for more details), the ultraspherical/hyperspherical harmonics involve Gegenbauer polynomials of the form $C_n^{\frac{d}{2}-1}(x)$, where $d$ is the dimension of the hyperspherical harmonics being considered. For the usual case of $d=3$, we have $C_n^{\frac{3}{2}-1}(x)=P_n(x)$.