This will tell you everything you need to know:
http://en.wikipedia.org/wiki/Relay
you need the relay to protect the ballast and to isolate it from the rest of the car. HID's require a lot of current at start up, and it could be more then the oem wires can handle. If there is too much draw, it can burn the oem wires. Your car's electrical system will also fluctuate slightly and thats bad for the ballast too. A relay allows you to power your ballast directly from the battery which makes it more stable.
