An arpeggio is simply a chord that is played one note at a time in an ascending or descending manner, rather than all the notes being played simultaneously. Although these are similar in function to scales, they are actually chords with each interval played singularly instead of all at once.
Arpeggios are found in all genres of music, including classical music, rock, jazz, blues, and pop music. However, they are most prevalent in rock, heavy metal, jazz, and blues. They are used to create a specific cascading effect and are usually played at fast tempos. Often, musicians will play arpeggios in quick up-and-down sweeps in an ascending then descending motion or the opposite directions.