An oratory is a long, formal speech. Often one that's a bit puffy and overblown, making you think the speaker really likes the sound of his own voice.
Oratory is from the Latin word oratorius for "speaking or pleading." In fact, oratories often leave audiences pleading for an end to the speech. They're the kind of thing evangelical preachers are good at. An oratory is also a little chapel, from the Latin oratorium for "a place of prayer," or a specific group of Roman Catholics, who name their oratories after where they're built, like the Brooklyn Oratory.