They are small servings of food that have richer ingredients than light hors d'oeuvres. A vegetable platter with a dip would be an example of light and chicken nuggets would be an example of heavy. Basically, the more protein or fat in the snack the heavier it is.
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Never use the phrase "heavy hors d'oeuvres."
Doing so is tasteless. One should know what to expect in the way of food and drink from the time and circumstances of the party. Even noting on an invitation that hors d'oeuvres will be served can be said to show lack of taste. It is equivalent to hanging a pork chop in the window. Anyone whose attendance hinges on whether they perceive they will be well fed is not a guest one wants on one's A List.