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Your question is too vague to answer except in equally vague terms.
A relay should be used any time you want maximum current to a lamp, lamp string, heater motor, etc. without passing it through long wiring and switch.
Diodes are rarely needed except in those cases where you need to have multiple sources drive the same lamp (e.g., brakes, turn signal, emergency flashers). Diodes are kind of a kluge and can be avoided with correct wiring in most cases. They're used to patch in a new circuit without rewiring other parts of the system, such as when you add emergency flashers to an already-wired car.
If you have a more specific question I can try to give a more specific answer.
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