Relay inside oscilloscope (Relay vs other switches)
Probably used in the "front end" (the parts closest to the input section) for range switching/input attenuators. When you switch your oscilloscope to auto it has no idea high big or small the signal might be (mV or tens of volts), so it will try to set the range such that the signal is easily visible on the screen without going beyond the boundaries. 

Mechanical switches and relays are far more "ideal" than semiconductor switches in this kind of situation. Lower resistance, less leakage, less stray capacitance and able to handle high voltages. They are not so good at fast switching or long life under load, but neither of those are requirements for range switching.