If you shop around, you can find parts to do factory style relays. Meaning wire ends that snap into a bracket, and the bracket attaches to your car. Then any standard relay plugs into the top, just like you'd find in a factory fusebox. I still use the relays with the integral bracket like Supe's picture sometimes, but only when out of supplies for factory style.
Several benefits to factory style- #1 all terminals shielded, no exposed "hot" connections. #2 easy troubleshooting, just swap the relay. #3 just looks better and makes the loom more stable.