An arpeggio is a chord played one note at a time. The value of arpeggios is that they enable you to play parts which fit chord progressions perfectly, since every note of an arpeggio is a note of the accompanying chord. The C major arpeggio consists of the notes C, E and G. These are the root, third and fifth of a C major chord. To play this arpeggio, simply hold down a C chord shape and pick the notes individually.
As with scales and chord shapes, it is important to be able to play arpeggios in every key. This example demonstrates major arpeggios played around the key cycle.