Not the relay-and-resistor type, but you could often
find surgistors
(ceramic disc-capacitor looking things, but I believe, made of
carbon) soldered in the filament string as part of some old sets.
Then there were the "bulb savers"--small discs probably containing
nothing more than a carbon resistor that were placed in the bottom of
an Edison-base lamp socket between the bottom contact of the socket
and the end contact of the bulb. I wonder if these were ever
encountered in the UK--it would seem that one would interfere with
the bayonet-style lamp sockets used there.
I've never seen one to be fitted between a normal bayonet lamp bulb and
its socket.
We did have things called 'Brimistors' which were self-heating negative
tempeature coefficient thermistors, basically, and which were designed
for surge limiting. Some radios (and TVs?) had them wired in series with
the heater string, whether they did any real goof is a moot point ;-)
The other place they were commonly used was in series with mains
projector lamps (before the advent of the quartz-halogent projector
bulb).
-tony