The pressure relief valve is one of my favourite pieces of safety equipment.
In this case, it's just a simple valve that's designed to leak if the pressure gets above a certain point on one side. By letting a small leak happen, you avoid having the pressure get higher than the tank or pipe is designed to handle. If the pressure in a tank gets higher than it's designed to handle, you get stuff like this:
They aren't only on large industrial systems though.
That one was a little bitty (5 gallon, according to the public safety notice I found it on) hot water tank that exploded. A full size hot water tank does a lot more damage, such as done by this 80 gallon commercial hot water tank installed for a school cafeteria. Did I mention you don't ever plug the pressure relief valve? It's there for a reason.
And because it involves explosions, mythbusters naturally did a couple of episodes to find out if a hot water tank really does launch itself like a rocket and if it really can punch through the 2nd floor then the roof of a 2-story house.
So yeah, if your hot water tank has a dripping valve, don't plug it—call the repairman and put a bucket under it until then.
The reverse of a pressure relief is a vacuum relief, which lets air into tanks that you're emptying. Like this one: