In short, "Prophecy" is a genre that records the stuff prophets say, which happens to be the same things God says since prophets speak with the voice of God. The genre also typically includes stories about the prophets. So, if you're cruising around Jeremiah, you'll find everything from classic doom 'n' gloom prophecy, to hymns or liturgical poems, to biographical and autobiographical tales of Jeremiah's exploits.
Something worth keeping in mind is that prophecy didn't just mean predicting the future, in the ancient world. Prophets weren't just the local fortune-tellers. Sometimes (i.e., a lot of the time), Jeremiah is there to speak truth to power (like kings) or just to the numbskulls of Israel. He's equally concerned with the snafus of the past and the iniquities of the present, as he is with the next batch of historical events.
And, when it comes to the writing, all these diverse goals and genres represented mean that it's a really colorful, and sometimes all-over-the-place, composition. The voice of God tends to explode with images and metaphors. When God speaks directly to the prophets, he tends to skip around from point to point, not confined by a narrative. He'll be predicting destruction, then will suddenly switch to promising peace, or will bring up a good metaphor or image to instruct people.
One of the distinctive things about Jeremiah as a prophetic book is that it pioneered the "jeremiad"—a term for a piece of writing that angrily attacks something with prophetic fury. Within the genre of prophecy, Jeremiah fits comfortably as a prophet of wrath, as opposed to some of the more intensely visionary prophecies of Isaiah and Ezekiel, which tend to go beyond justice and punishment.
(Oh, and Jeremiah is the longest of all the prophetic books as well, word for word.)