It's a slang word to express your mild surprise, shock. A : 나 문에 손가락 찧였어 I got my finger slammed in the door. B : 헐, 괜찮아? Are you OK? A : 너 지금 어디야? Where are you now? B : 집인데, 왜? I'm home, why? A : 헐... 아냐. ......Nothing. B : (gets a feeling there might be something not good going on.)

Yes, it is definitely for mild shock. Korean teenagers will say this a lot. One of my good friends says 헐 every 5 minutes. lol