I recently got a PM from a member who was wondering this very question. He understood that everyone was saying that it was a good thing to do, but couldn't understand WHY it was a good thing. Specifically, he was wondering how relays are protecting the switches that power devices.
So here, for you folks who don't get into electrical things much, is Basic Relay Operation 101. First, a drawing of a switch and a relay (and bear with me - the first time the photo didn't take so I attached a powerpoint file, too).
The numbers correspond to terminals on the relay - they are usually numbered the same, especially if they are German.
Power comes from the battery through a fuse in the fuse panel or through an in-line fuse apart from the fuse panel. That's shown in red on the bottom. A wire is then run from a fuse to a switch, let's say the headlight switch, and from the other side of the switch it is run to the COIL of the relay. The coil is simply an electro magnet that closes a pair of contacts when 12 volt power is supplied from the switch. It gets that power from the headlight switch when the headlight switch is turned "on". That's half of the circuit.
The other half of the circuit is inside of the relay housing and is a separate pair of switch contacts powering the headlights. 12 volt power is run from a fuse separately to those contacts, independent of the dash switch, and then from the relay out to the headlights.
Why do all this? Because the headlights require a lot of power to work - like 15 - 20 amps or more for the pair of lights. That's a lot of power to run through a switch and it could make the switch contacts heat up and possibly wear out and burn over time. So to save the switch from burning up, you need some heavy-duty switch contacts to handle the power and those are what's inside of the relay. Most automotive relays are rated for 30 amps or more out to the device under load (Headlights, Fog lights, Heated Cup Holder, etc).
Inside of the relay is the relay coil, which only requires 1/2 an amp (often less) to close the relay switch contacts, so the headlight dash switch would only have to work with 1/2 amp, not the full 15 - 20 amps of the headlights. At that level it'll last for many years and wear out from mechanical use before it ever burns out from too much power going through it.
Long winded explanation, I know, isn't it? (it sounded a lot shorter in my head).
Just think of it as a way to control a heavy duty load (the headlights) remotely, by a light duty switch (the dash switch). That's pretty much it.
Hope this helps someone else! Gordon