Relays are like servers where the posts you make are hosted.

You can choose any relay number of relay to post your message/content. For example if you have 10 relays setup in your account, you post gets saved in 10 different servers run by 10 different people possibly in different jurisdictions. Censoring you gets hard.

Communities are groups of people. Kinda like facebook group or like a subreddit. Community member's posts also gets saved in 'relays'.

Basically all content you see on Nostr are on relays.