Arduino and 127/220 Volts: Relay and Isolation
Do a Relay Shield protects the Arduino board from the current and voltage from the power supply?


A relay provides galvanic isolation in the circuit.  The mains power is electrically isolated from the rest of the circuit since the device that performs the actual switching (the contacts in the relay) have no physical connection to the rest of the circuit - they are merely acted upon by magnetism.

That doesn't mean that it's safe, however.  There are a number of things you still need to deal with:


The Arduino cannot directly drive a relay - it can't provide enough current. You must use a drive circuit.
Back-EMF from the relay coil as the magnetic field collapses can damage sensitive semiconductors - good snubber circuit design is important here.
Mains electricity is dangerous and must be treated with respect.  Proper circuit design is paramount to ensure that the mains is kept away from the rest of the circuit. Proper connectors must be used and exposed high voltage points must be rendered inaccessible, either by the project housing or by the addition of plastic insulating shielding.
Relays as they turn on and off cause sparks. Sparks cause EMI. EMI causes induced currents. Induced currents cause damage to electronics.  Minimizing the spark generation not only prolongs the life of your relay but the life of everything else around. Ensure your relays can switch fast enough for the currents you are dealing with, or consider using solid state relays (SSRs) that don't suffer from this issue.