FEZ Spider has several available Y sockets.
I don’t have a relay module, so I haven’t tested it with the Spider board, but I’ve used the Potentiometer, Button, LED, IR Receiver, IR LED, and Piezo eblocks with the Spider, all with no trouble other than my boneheaded attempt to run two Piezos off a single PWM socket, which didn’t work so well.
In some cases, you may need to split up the eblocks into separate sockets, since the socket you plug into may not support every kind of eblock you wish to use, so I’d recommend picking up an extra eblock expansion module or two.
As for your question on what socket type the eblock expansion module is, the answer is that it depends on the eblock you’re attempting to use. For example, the Piezo module needs to be plugged into pin 6, 7, 8, or 9 on an eblock expansion module on a socket marked with P (for PWM).
For analog input (such as the potentiometer eblock), you’ll want to plug the eblock into pin 3, 4, or 5 on an eblock expansion module plugged into a socket market with A.
If you’ve not seen it, there’s a section on the wiki that discusses the eblock module in depth, including code examples for the various types of input and output:
Hope that helps!