When wiring up accessories and fuse blocks to your bike you have a couple of choices. You can wire them up so that they are fed straight from the battery and are on all the time, or you can wire them up with a relay so that they are only on when the relay allows the circuit to be complete.
Simply stated, a relay is a switch that is controlled by another electrical circuit. This second electrical circuit is what helps turn the switch (relay) on or off, thereby completing or breaking the circuit to your accessory..
For an example of why you might want to use a relay for an accessory lets say that you have a GPS on your motorcycle with an internal battery. If left plugged into a socket that is wired directly to the battery, the GPS would draw power from the bikes battery to charge its own battery even when the bike is turned off. After a few days this would probably leave you with a dead bike battery but a well charged GPS battery. Not a very good combination because you don't have to worry about finding your way if you can't go anywhere because the bike won't start thanks to a dead battery.
To prevent this you could wire the GPS socket in a way that the power is controlled by a relay that is triggered by your rear tail light or another form of switched power . That means that when your key is off, the power to the socket will not flow because the tail light is not on and, without the tail light on, the relay circuit is not complete.
I could go deeper into the workings of a relay but in doing research I found a very good article with detailed images on the How's and Why's of a relay circuit. So, before you jump into your wiring project read over the article at AutoShop 101 and then sit down and plan out your power supply wants and needs with regard to your accessories. Then, armed with what you learned in the article, you can better decide which power supply style you would like to go with on your install.