Relays
Generally (but not always) a relay is opening and/or closing a higher-voltage switch after receiving a low-voltage input. The switch is activated with or without a delay. For example, flipping a thermostat from a/c to heat may involve closing one switch and opening another inside a relay to change the speed of the blower motor. Sequencers and contactors are also 2 types of relays but are designed for more heavy-duty applications.
Help Sources:
2-Minute Video On How A Relay Works
2-Minute Video On How A Relay Works