As its name implies, a Prelude is a short piece of music preceding a more substantial work. It is an introduction into the main composition. Musicians always tune their instruments before playing and they would improvise short phrases of music to accomplish this. And so the like; the prélude comes before the music.
Preludes are typically followed by a fugue or suite of dances. This was the norm of composers during the Baroque and Classical periods. J.S. Bach's preludes and fugues were composed for organ and became very popular. Listeners liked them since they were fond of the fugue and those with introductions were new and compelling.
Later, composers of the Romantic Period began writing preludes as stand alone songs used during concert performances to spell a certain mood or motif. While Mendelssohn and Liszt were the prominent composers writing such works, it was Chopin who heralded the prelude to new heights of expertise and emotion. Composer Claude Debussy noticed this so began writing more expressive versions of the prelude. Chopin was a great admirer of the work by Mendelssohn and Liszt. He gave his best-known example the rather evocative title of 'Prélude à l'après-midi d'un faune' translated as 'Prelude to the Afternoon of a faun.' Have a listen to 'Les Préludes' by Franz Liszt below. It is utterly beautiful! I can see why Frédéric Chopin and his friend Claude Debussy liked his work so much.
Composed by Franz Liszt