a little confused, why a relay

Relays allow you to switch high current loads from low current sources.  In a car this allows you to use low current switches (say 3A) to switch loads up to 30-40A (even higher with multiple relays in parallel).  The "best" part of this is that the lower current switches are prettier and much smaller then the high current switches.

You could also use a relay like you mentioned - to turn something on and off when the car is turned on and off.  By hooking to a low current ignition source (like a 10A switched cigarette lighter) you can turn a high current inverter on and off with the car

I am not questioning you in any way, but in the case you stated,,,, instead of a relay why wouldn't someone just wire it to an existing wire that only has power when the key is on? that would do the trick, maybe I am missing something.....I just want to make sure that what I have done (although it works fine) is not going to create some long term issue............

Most of my stuff. (DVD, Monitors, etc) are low current I am assuming, I have no inverter but I do understand what your saying about that.

So what wire are you going to tap into?  What is already connected to that wire in the vehicle?  The problem with tapping into existing wiring is that you will most likely increase the safe current draw for that particular circuit and either pop the fuse, or damage the oem equipment it's tied to.  A relay will completely isolate the circuit so nothing happens.