Arduino relay. risks?
Basic safety precautions:


Always fully unplug the lamp before working on any wiring, even when working with the low-voltage side of things.
Invest in a proper enclosure and follow the rules of insulation and earthing: if the enclosure is metal or has exposed metal they have to be earthed. If it is plastic it is insulated and there is nothing to earth (plastic is best).
Use nylon bolts etc when situated near mains voltages.
A proper relay module with good screw terminals is recommended.
Do not tin your mains wires when screwing them into a terminal block
Do your mains wiring with your left hand in your pocket (an old electrician's trick: if you should get a shock the path to earth is down the side of your body and through your foot. If you have your left hand touching something the path to earth could well be straight across your chest, through your heart, and down your other arm, killing you. It has saved my life a few times...)
Keep mains voltages and low-voltage areas separate. Cable ties and self-adhesive nylon cable tie pads are great for keeping cables where they should be.
Shield any exposed mains connections from touch. Things like the underside of the relay module where the terminal blocks are soldered, that sort of thing.
Don't let the relay module wave around loosely. Keep it well secured in the enclosure.


I'm sure I could find more tips if I tried :)

The main thing to remember is that mains electricity is deadly and should be treated with the utmost respect.

For the ultimate in safety though you could get an isolating transformer. This separates your work from the main supply and means that the only way of getting a shock is by actively touching both outputs of the transformer at once - something you're not really likely to do - and even then it's usually a very localised path for the electricity (through a finger or two).

Adding an ELCB to the lamp's plug (if it is earthed) can be a good precaution while you are working too - and making sure the socket is connected to a ring main that is protected by an RCD is pretty much essential (in the UK it is the law that all ring mains are protected by an RCD - I would hope the same is the case where you live).