A song cycle is a group of classical songs (or lieder) designed to be performed in sequence as a single entity. Usually all songs in a song cycle will be on words by the same poet, and there will often be a theme running through them all.
The first example of a song cycle is generally thought to be Ludwig van Beethoven's An die ferne Geliebte (1816). The earliest well known song cycles, however, are by Franz Schubert, who was one of the first composers to develop the lied as a significant form. His Die schöne Müllerin (1823) and Winterreise (1827) are among his best known works. His Schwanengesang (1828) is also frequently performed as a cycle, though it was not intended as such by Schubert - the songs were instead collected together by his publisher and his brother following his death.
Robert Schumann also wrote song cycles, the best known being the Dichterliebe (1840) and Frauenliebe und -leben (1840). He also wrote two collections entitled Liederkreis (both 1840), the German word for a song cycle. Later examples include Modest Mussorgsky's Sunless, The Nursery and Songs and Dances of Death, Gustav Mahler's Lieder eines fahrenden Gesellen, Kindertotenlieder and Das Lied von der Erde, and Arnold Schoenberg's Pierrot Lunaire.