Jazz. Jazz is a type of music which was invented in the United States. What is jazz? One important part of jazz is improvisation. History. Jazz started in the United States in the early 20th century. Large jazz bands were popular in the 1930s and 1940s. Jazz bandS. Kaunas Jazz is an annual international jazz festival in Kaunas. Jazz in Lithuania. The end. Created by 8B class student Povilas Kazakiūnas.