If you like to play with colour and stitch, this is a fun way to do it. Pieces of fabric, roughly square or rectangular in shape are laid down over a very fine cotton backing (you're going to embroider through a few layers, so it needs to be thin!). Over that, I have laid a few pieces of chiffon, etc - anything that I can see through to the fabric underneath, but which changes the colour slightly. Use a running stitch in a few places to hold everything down, then start embroidering. Experiment with the stitches, and the colours. Play!
I did a workshop with Effie Mitrofanis a few years ago and she has a quilt made from pieces like this that she calls her "sandpit" (sandbox to those of you who don't understand the Australian term) - because she can go and play in it whenever she wants. This is the start of mine.