Sometimes when i go to shut off the engine, it won't, and other times it works just fine. Could it just be a bad relay? Or could something be wrong with the ignition? Strange how it doesnt allways happen.

Well, given just a stock wiring system in older cars, my guess would be the ignition switch. There are no relays in the inline to the ignition coil on any models that could get stuck. What model year are we talking? Maybe some of the more modern ig systems have a relay if that is the year(s) that we are talking about?

The only other reason would be a short to the coil/ig feed?

Next time it wont shut off, "adjust" the voltage regulator with a couple a thumps of the handle of the nearest screwdriver. Sometimes the points stick and cause problems like that.