Relays are common in automatic control systems. Even linear systems with relay feedback are, however, far from fully understood. New results are given about the behavior of these systems via a state-space approach. It is proved that there exist multiple fast switches if and only if the sign of the first nonvanishing Markov parameter of the linear system is positive. Fast switches are shown to occur as part of stable limit cycles. An analysis is developed for these limit cycles that illustrates how they can be predicted.