The Collaborative International Dictionary of English v.0.48:

'Etude \['E]`tude"\ ([asl]`t[.u]d"), n. [F. See Study.]
   1. A composition in the fine arts which is intended, or may
      serve, for a study.
      [1913 Webster]

   2. (Mus.) A study; an exercise; a piece for practice of some
      special point of technical execution.
      [1913 Webster]

WordNet (r) 3.0 (2006):

etude
    n 1: a short composition for a solo instrument; intended as an
         exercise or to demonstrate technical virtuosity

Moby Thesaurus II by Grady Ward, 1.0:

71 Moby Thesaurus words for "etude":
   Nachtmusik, absolute music, adaptation, air varie, aleatory,
   aleatory music, arrangement, article, causerie, chamber music,
   chamber orchestra, composition, descant, discourse, discussion,
   disquisition, dissertation, electronic music, essay, examination,
   excursus, exercise, exposition, feature, first approach,
   harmonization, homily, incidental music, instrumental music,
   introductory study, invention, lucubration, memoir, monograph,
   morceau, nocturne, note, opus, orchestration, outline, pandect,
   paper, paragraph, piece, preliminary study, production,
   program music, prolegomenon, research paper, ricercar, score,
   screed, sketch, sonata, sonatina, special article,
   string orchestra, string quartet, study, survey, term paper, theme,
   theme and variations, thesis, tract, tractate, treatise, treatment,
   trio, variation, work