Prophetic moments may be as simple as a character warning the hero that he'll regret taking a certain action, or they may be as elaborate as a look into the Mirror of Galadriel: requiring a seer, a mystic setting, a special device or ritual, all deliberately devised to produce a glimpse of the future.  The idea of prophecy is so associated with fantasy literature that it appears in the number one entry on the Grand List of Fantasy Clichés (one version at) http://amethyst-angel.com/cliché.html.

If ambiguous, and they generally are, these moments serve first of all as fore-shadowing.  They create not only a sense of suspense on behalf of the reader, who knows something of what will happen, but not what or how, but also may retrospectively become the guideposts that all line up from the standpoint of the surprising, yet inevitable, conclusion.  "I should have seen that coming!  After all, the witches foretold that Birnam Wood should come to Dunsinane!"  In order to be effective at this task, the prophetic words must be either absurd or apparently insignificant.

Dream as prophecy can fit either category (ambiguous or detailed).  The human desire to believe in the prophetic unconscious encourages us to include dreams: even Fiddler on the Roof uses this desire to believe when Tevya invents a dream in order to convince his wife to change their daughter's betrothal.  Dreams can carry great weight in some settings and cultures, and they may be the best way to insert your prophetic inclinations, if your particular world puts special weight in the nature of dreams.  Dreams are, by nature, insubstantial, so be wary of basing too much plot development on them, or using them too frequently outside of the framework of religion or established belief.

Until recent history (and still in many places), dreams and curses were believed to have great power.  The former revealed the soul of the the dreamer, while the later could have a literal effect on the cursed individual, requiring him to go to great lengths to lift the curse or abandoning him to suffer the consequences.  People might refuse to associate with the bearer of a curse, and some forms of curse carried greater significance (that of a woman scorned, someone on a death bed or about to be executed, etc) In fiction, you may choose to create a world in which curses are a form of magic.  Or, as I did in The Eunuch's Heir, they may be spoken by a individual with prophetic abilities, less as a statement of intent than as a supposed revelation about the nature of the cursed one.

Titles are a special form of prophecy communicating directly between the author and the reader.  They take place out of the frame of the narrative.  For a first novel, the title intrigues the reader enough to pick it up.  But subsequent books in the series build upon the reader's knowledge of what has gone before, and his expectations for this and future books.  Hence, titles like Katherine Kurtz's King Javan's Year immediately set up a red flag for the reader that young Javan will not only become king, but that his reign will be brief.  It builds in a certain amount of tension before the reader has even opened the book.  S. C. Butler's Queen Ferris has a somewhat different effect.  Ferris, a major character in the first book, is also not even close to being a queen.  Butler then plays with the expectations set up by his title to increase the reader's interest and keep her guessing about the outcome.

That idea of reader expectation is key.  It's part of a larger concern referred to as the Contract with the Reader: through various means your work immediately sets up the reader to be looking for certain things.  Some of these expectations are genre based (i.e.: if it's romance, it has a happy ending; if it's fantasy, it contains magic).  Note that these expectations can be violated or subverted, deliberately if you are aware of them, willfully if you reject them, and foolishly if you've never considered them.  Williams' use of prophecy subverts expectations in a way that the reader can enjoy, being startled, but, one hopes, not feeling betrayed.  I'll talk more about the Contract in a future article; in relation to prophecy, the main point is to consider how to use the prophecy to increase suspense rather than slavishly pursuing the expected goal in the expected way.

Some fantasy works incorporate the notion of prophecy either into a magical system, or into a particular race (elves) or character (fortune-teller) who have the capability to see the future.  The author often includes the caveat that these are visions that MAY come to pass, or that the future is always in motion.  In Gail Carson-Levine's Fairest, a recent version of Snow White, the race of gnomes are gifted with foresight, and use it, among other things, to settle court cases.  The participant in the vision may, however, reach a crossroads before the foreseen moment occurs, and thus create a different path.

I think these limiting factors are an attempt by the modern writer to negate the idea of fate, and leave the power of choice in the hands of the protagonist who must still work hard to achieve the desired/prophesied goal.  The trouble is that the world of a novel is ALWAYS to some extent deterministic: you, the author, are in control of the fates of the characters.  You create and destroy them, you send them in particular directions.  No matter how three-dimensional they are and how alive they seem inside your mind (and the mind of the reader) in the end it is the author, not the character, who chooses how things play out.

This creates a tension between the author and the narrative, as well as between the author and the reader.  We want the work to be vivid, seamless, all-encompassing so that the reader forgets for a time that it's only a book, and that the author is pulling the strings.  The blatant use of prophecy can make those strings obvious, causing the reader to abandon the work in frustration, unable to believe the characters are masters of their own lives.  However, it can also be a way to comment on our own beliefs about religion (pre-destined fate versus free will), personality (nature vs.  nurture), and the ability to escape what appear to be limiting attributes (birth order, class structure, racial or personal characteristics).

And these, of course, are some of the great questions fantasy is specially suited to explore.  One of the themes present in many fantasies is the power of the individual to overcome his or her situation to achieve a dream, and properly used prophetic moments can provide the needed spur to action that creates a compelling story.