Arduino, relays and building code
Disclaimer:   IANAL nor US regulations expert.  

There are a few standard certifications that will essentially guarantee that a part will meet US regulatory requirements. Usually more of the form "your building burned down and you have no insurance because ..." rather than prosecuting you for non compliance. 

Relays with UL rating bought via a reputable US supplier will usually quality.
eg if Digikey sell it it is PROBABLY Kosher.
Also if made by reputable manufacturers the same applies, as long as its genuine. eg (1 of many) Omron - they don't make no junk largely and even their junk is certified :-). 

HOWEVER if you are building something using such parts the whole unit will need to be certified. For small volume applications it may be easier and cheaper to buy comething COTS (commercial off the shelf) which has the relevant certifications. That said,be sure these are legitimate. 

As a guide:

US standards a useful introduction

Extensive international standards summary

Wikipedia on UL

MET Labs strut their stuff comparison with UL.

Intertek test labs bow in

Useful - Understanding electrical certification

Possibly useful templates