In the Blue Sky Music sample database, there are a few relations in place:
Items.ItemcatID is a forign key relation to itemcategory.ItemcatID
orderdetails.DetailOrderID is a foreign key relation to orders.OrderID
orders.OrderStatus is a foreign key relation to orderstatustypes.StatusID
visitors.VisitorGroupID is a foreign key relation to groups.GroupID
making the foreign key relation in the MySQL database allows you to force referential integrity. This means that you would not be able to delete a child record with out first deleting the parent.