Les Transcendental Etudes is a collection of 12 studies performed by Listz which include additions, revisions, and many other very technical, complex, yet colorful piano compositions that are known for being rich in color, description, and depth.
The reason why Listz may have called these etudes "Transcendental" is twofold. First, each one of the 12 pieces depict a different mood. You start with the preludio, as a "starter" and then you move to the Molto Vivace, where the rhythm is very energetic, and then fall back into a very peaceful paysage, where you kind of "rest" from the Vivace.
These are ONLY the first three. When you go into the rest of the studies you find yourself going up and down in heart rate, and it is this quality of transporting you to different places what truly makes it "transcendental."
Another reason is, of course, its characteristic magic. Many of the pieces are almost surreal and supernatural. The typical pianist would have to become an expert to perform some of the etudes and be quite flexible with his or her hands not to break a finger. So, the uniqueness of the content plus the form in which they are delivered make each of the piano creations almost magical, and that is why the word "transcendental" truly fits in.