I think I have to disagree with ktdd on this issue.
前几天 indicates a few days that are before today. For example, it's June 5th today, so the days from June 1st to 3rd are 前几天 relative to today. When someone says 前几天, they may mean to say a thing they did just at a point in those days, and here 前几天 is the same as 几天前. But when they say something like 前几天一直在下雨, they means "it was raining all the time those days (and now it's sunny)", so 前几天≠几天前 here.
A similar idiom is 前两天.