Each development platform has their own strengths and weaknesses - however by combining two (or more) you can generally solve problems while learning quite a lot about the respective hardware. One example of this has been published by Edoardo Odorico who has used a Raspberry Pi, Arduino, inexpensive wireless modules and a relay board to remotely control AC-powered devices via a web page.
The simple page consists of two buttons that trigger a Node.js application to send serial messages from the Raspberry Pi to an Arduino via two NRF24l01+ wireless data transceivers. Once received, the Arduino interprets the message and controls relays as necessary to control the AC current.
The process is an interesting example of finding synergy between the two platforms, with the Arduino sketch and all the RPi code being supplied. So to get started, visit Edoardo's website. And for more, we're on twitter and Google+, so follow us for news and product updates as well.
Although the process described above may be simple for one relay, or if you have plenty of time - it can be done reasonably easily. However if you have two or more relays - it's much easier to use dedicated relay control boards. Here at Freetronics we have the RELAY4: board, perfect for controlling up to four relays with Arduino (or any other microcontroller's) digital output pins:
Or if you'd like to control up to eight relays - or more at once with an Arduino Uno or compatible board - consider our RELAY8: board. Controlled via I2C, you can stack up to eight shields with the appropriate power supply to support 64 relays at once: