Mercy Wings (a.k.a. Mercy's Gaze) are a vanity item for Diablo III.
They are available to PC players who purchase the Origins Edition or Collector's Edition of Overwatch. as well as available to all Diablo III: Reaper of Souls - Ultimate Evil Edition players on Xbox One and PS4 who link their SEN/XBL profiles to their battle.net account.
As their name implies, they are modeled after those of Mercy.
Only one set of Wings can be active at a time.
You feel the reassurance that mercy, perhaps an angel, watches over you.