Whereas the work of the Lumiere Brothers was a progenitor of documentary film, another French pioneer, George Méliès, created the first fiction films. His pictures were full of fantasy and wonder; a stage magician in his day job, Méliès seems to have been the first director to cut multiple shots together and to use special effects, all in order to enhance the illusion of his magical stories.
In his most famous picture, A Trip to the Moon (1902), some scientists travel to the moon inside a giant bullet launched from a cannon. When they arrive, they are confronted by all sorts of strange creatures. Méliès’ beautiful sets, trick shots, and stage magic are intricately combined to solidify the fantastical illusion in a way that is remarkably similar to the fiction films of today.
For more information, see:
Thompson, Kristin and David Bordwell. Film History: An Introduction. New York: McGraw-Hill, 2003. 2nd edition.