In
music, this term refers to a piece in one continuous
movement (as opposed to a
concerto or
symphony, which would be written in a more strictly
delineated manner). Rhapsodies generally do have
themes running throughout the work and sections that are fairly distinct from each other, but these different sections are not separated into different movements as they would be in most forms of
classical music. Rather, they are incorporated into a single continuous piece whose sections flow together naturally (usually).
The fact that some rhapsodies are numbered could lead one to believe that the piece actually is divided into movements, when in reality each numbered work stands alone. (i.e., Liszt's 2nd Hungarian Rhapsody stands alone as a complete work independent of the 1st Hungarian Rhapsody, where the 2nd movement of Beethoven's 5th Symphony is only a part of the whole.)
Rhapsodies are frequently based on popular, national, or folk melodies (e.g., Liszt's Hungarian Rhapsodies, Stanford's Irish Rhapsodies, George Gershwin's Rhapsody in Blue, and, depending on how strictly you interpret things, Queen's Bohemian Rhapsody).
Parts of this were paraphrased from The Oxford Dictionary of Music, Revised Edition, edited by Michel Kennedy.