There is a metal cylinder type relay , thinks its related to the fuel pumps , I noticed the other day it was really hot too hot to touch. Should this be the case or is it on its way out, the wires going into the relay weren't hot.

The cars a 94WRX , and the relays under the dashboard drivers footwell

 

if i remember correctly there should be 3 maybe 4 of these under the dash? are you sure its not been 'displaced' as it should be cliped onto a 'rack'thingy away up near the top of the dash? quite hard to access... i had trouble with a faulty fuel pump relay on a previous impreza a few years ago. dunno if they should get so hot or not though it was about £20 to replace from main dealer,but you can get them from any auto electrical outlet.