The Chronicles are short side stories for the main characters in Heavy Rain. Each one shows what they were up to before or after the time of the main story to provide a little extra depth to their personality. Here's the description Sony offered for "The Taxidermist":

Heavy Rain: Chronicle One -- The Taxidermist will feature investigative journalist Madison Paige in one of her first cases tracking down a serial killer. Most of you are familiar with this episode as it is an expansion and update to the original 'Taxidermist' demo that received such positive response when shown last year.

[source: Heavy Rain Pre-order offer on the PlayStation Blog]