Once upon a time in the magical land of Equestria, there were two regal sisters who ruled together and created harmony for all the land. To do this~ ...if I'm not mistaken, I'm sure you all have heard this story time and time again. I know I have, thanks to my inability to remember not to fake a lack of knowledge of Equestrian history. (As a timelord, it is not only my responsibility to know what I'm getting into before I get into the... aforementioned... into-ness, but also to not let on to my knowledge... within limits.)
You may know that tale, but what about what Equestria was like after Luna was cast off to the moon? Well, let me tell you. It was dark. (Figuratively speaking, of course.) Riots. Fires. Rabid dogs (or maybe it was bees. I can't really remember for sure). I could go on for ages, and you still wouldn't have a very good idea of the darkness of it all. During all this darkness, one mare knew the key to the eradication of these dark times: music. That mare was named Surprise.
Surprise worked out some highly plausible instrument designs. These instruments, when constructed, would not only signify the beginning of a new era of peace and harmony for the land, but once laced with magic, would possess the power to make the player's dreams come true. (Gratuitous foreshadowing, everypony. Isn't it grand?) Surprise worked day and night with her friend Twilight to build and perfect these instruments. Finally, the instruments were built and the band began to play. Surprise, Firefly, Twilight, and Applejack played on until Equestria was returned to its former glory. But they weren't done yet. For beginning a new era of peace and harmony, Princess Celestia rewarded the newly-named Lonely Hooves Club Band with the highest honor a troupe of realm-saving musicians can earn: the Golden Eagle Award.
The Lonely Hooves Club Band beat on for several more centuries, until the original members grew old and eventually died. Before their deaths, they chose four fillies to carry on their legacy.
Twilight Sparkle, Rainbow Dash, Applejack, and, of course, Pinkie Pie