Some background information about the reason for the "arcing" and "micro-welding" described above:
It is usually caused by inductive loads, like electromagnets, motors, transformers - pretty much anything that is based on a coil of some kind.
Coils have a surprising property - the current that flows through them cannot suddenly change. So if you have a motor running on, say, 200mA, and your relay breaks the circuit, the current needs some time to ebb, it cannot go from 200mA to zero at once.
But how is this possible with the circuit open? There's only one way - the voltage between the now open contacts will rise so high that the current can flow through the air between the contacts! High voltage can ionize air to make it conductive. In small scale this is called an electric arc, in large scale it's called lightning...
In both cases, it's very hot, and happening between relay contacts causes contact material to melt and micro-weld. Even if the relay spring is strong enough to rip the contacts apart eventually, and the relay does not stick, this ruins the contacts over time, and should be avoided.
If the circuit is DC, it's simple. You just need a so called flyback diode over the inductive load which allows the coil to discharge its energy without generating high voltage.
Note that this is also essential when driving a relay (a coil, too!) from an electronic circuit. If you forget the flyback diode, the high voltage will disturb or even destroy the electronics. See D3 and D5 on the Onion Relay Expansion schematics.
If the circuit switched by the relay is AC, a diode does not work (would short-cicuit half of the time and destroy itself). Instead, use a RC snubber, a capacitor in series with a resistor. For use with 230V AC, ~20..100nF/400V capacitor and a 100Ω/2W resistor works. The snubber consumes some energy of it's own, that's why the resistor should be a 2W type, and will produce some heat. There are also RC snubbers in a single part, like this one.
Hope this help to tame your relay circuits ;-)
As a side note: there are circuits where the high voltage caused by breaking the circuit of a coil is the desired result - ignition in combustion engines, electric cattle fences...