Prelude:Preludes are characterized by being short and sweet (relatively), with a melodic and/or rhythmic motif that is featured throughout the piece. This motif will recur throughout the piece, sometimes differing slightly as the music progresses. A prelude may be played on its own, or as a preface to another piece, usually more complex.
Nocturne:Nocturnes are generally lyrical and tranquil pieces. The nocturne is known for being expressive above all else. It follows no specific form, but evolves as the music progresses.
Etude:You can probably guess this one. Etude is the french word for study; so a musical etude is just that – a musical study used to perfect a particular technical skill. Generally etudes are quite difficult, featuring runs of quick notes, and arpeggios.
Those were just three terms that are commonly used to characterize a piece of music. For some examples of these styles take a look at the works of Chopin. He composed 24 Preludes: One in each key, major and minor, 27 Etudes, and 21 Nocturnes.