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The oboe is both a family of instruments and a single instrument and member of the double reed group of woodwinds. This group also includes bagpipes, baritone oboe, bassoon, contrabassoon, English horn in F, heckelphone, and oboe d’amore. The double reeds that are members of the family are as follows, arranged from lowest to highest.

The baritone oboe, also called the bass oboe, is an octave lower than the regular oboe. English composer Gustav Holst used it in The Planets, but this version of the instrument is little used recently. Today, the heckelphone, an instrument about 4 feet (1.2 meters) long and also pitched an octave lower, is often substituted. The heckelphone was developed in response to Richard Wagner’s request when he visited the Heckel factory, a German bassoon manufacturer, in the late 19th century.
The English horn or cor anglais is a fifth lower than the oboe.
The oboe d’amore is a minor third lower.

The regular oboe, a non-transposing instrument, played by an oboist.
The oboe was developed from its predecessor, a one-piece instrument called the shawm, by Frenchmen Jean Hotteterre and Michel Philidor in the 17th century. The shawm was a double-reed of the Medieval–Renaissance period. It made up part of the military band of the Saracens during the Crusades, along with trumpet and drums. The shawm came in six sizes, from sopranino to great bass. Larger shawms were known as bombardes. In early days of its use, the English called it an hautbois or hoboy, which suggests how the name developed.
There are three parts to an oboe: the upper joint, the lower joint, and the bell. Tenons are used to connect these parts. There are two main systems of construction: the French conservatoire system, which Frédéric Triébert developed in the late 19th century, and an English system referred to as the thumbplate system. There are also dual system oboes.

Oboes are used in orchestral as well as band ensembles. German composer Johann Sebastian Bach’s first two Brandenburg Concertos include this instrument. It is cast as the duck in Russian composer Sergei Prokofiev’s Peter and the Wolf. Oboes are also included in jazz repertoire, and Charlie Parker’s Bird with Strings album features it.

From: http://www.wisegeek.com/what-is-an-oboe.htm