So, I was playing yesterday afternoon with an ol' friend of mine and he pointed out something that I had never made the connection about. Maybe I'm just slow and this will be old news to everyone else, but I figured I'd post it for anyone else like me who just totally missed the bus on it.
The type of annoying little wraiths you get will warn you what kind of bigger demon is nearby, as the bigger demon actually "controls" their element.
Green spirit damage wraiths can be an indicator that Fear is nearby (he's that super-annoying dude with the crab legs on his back that teleports around and makes spiders crawl up your legs). However, this is also the default form of wraiths when initially spawned and they pass by no greater demons, or if the greater demon nearby has been slain.
Orange fire damage wraiths mean a Rage demon is nearby (logically enough).
Blue ice damage wraiths means that a Despair demon is nearby (she's that annoying black-hooded hag that dances around and shoots ice beams out of her face).
Purple electricity damage wraiths mean Pride is nearby.