A relay generally allows a low power signal to control a high power load. They're usually smaller, enclosed versions of contactors.

Relays are composed of a coil, and a set of magnetic contacts. When energized, the coil will open and/or close some of those contacts, depending on how the relay is designed.

For example, a relay in a heat pump may have a coil rated for a 24 volts at 0.5 an amp, but the relay contacts may be rated for 30 amps at 240 volts. When the 24 volt control signal from the thermostat flows to the relay coil, it closes the contacts which allows 240v to energize the heat pump.

-John