Chess Problems are similar to chess puzzles. While puzzles generally portray tactical positions that could occur in actual play, Problems don't have such restrictions. Problems are usually much more difficult, often built on a theme and sometimes fantastical. Problems often have a certain aestetic appeal and, more often than not, contain some unexpected move.
There have been many great problemists throughout history. Richard Reti is well known for his play and for his role in the development of hypermodern ideas, and while it's often forgotten today, in his time he was a considered a great problemist also.
Here is a problem devised by Richard Reti. White moves first and his play leads to a guaranteed win.