Relays, simply put, are electric switches that we can control using a small output signal. They're perfect for small controllers, like Raspberry Pi, to switch other circuits with higher voltages on and off. The simplest example is to use a relay to switch a lamp on and off. We can't light the lamp using the voltage available to us in Raspberry Pi, but we can use a relay as a switch to control the lamp.
The principal part of a normal relay is a coil. When electricity runs through it, it magnetizes an iron core, which in turn moves a lever from the Normally Closed (NC) connector to the Normally Open (NO) connector. When electricity is cut, a spring returns the lever from the NO connector to the NC connector. This movement of the lever from one connector to the other causes a characteristic clicking sound. This tells you that the relay works. The lever in turn is connected to the Common Ground (COM) connector.