An oratorio is a musical piece that is usually lengthy and based on some Biblical or religious event. It is a performance for voice and orchestra, but the story is told through the music, and not with scenery, costumes, and action.
In Rome, musical services were presented in the church of the Oratory of St. Philip Neri. An oratory, from the Latin word oratorium, meant "place of prayer." These sorts of musical services spawned the type of music known as oratorios. Handel's Messiah is a well known oratorio that is often performed at Christmas. You are probably familiar with the part that goes "Hallelujah! Hallelujah! Hallelujah! Hallelujah!"