Arduino Relay Shield

As already mentioned, everything to the left of the relays is completely irrelevant when it comes to what the system can cope with. It's purely down to the relays what voltage and current they can deal with. As far as the circuit goes there's nothing wrong with it that I can see at first glance.

So to go from there to an actual physical shield there are a number of things you do need to consider:

1. Ensure that the relays have a rating at least as high as the expected maximum voltage and current, ideally derate it by at least 50%. For CFLs (which present an inductive load as well as a resistive load) you want to dereate it even more.
2. Ensure that the mains voltage track layout is kept well away from the low voltage digital signals and ground plane.
3. Ensure that the mains voltage tracks are sized appropriately and kept as short as reasonably possible. Use a track width calculator to get the right width.
4. Be sure to use appropriate connectors for the mains power. They need to be able to cope with as much current and voltage as the relays and at the same time be safe.
5. Keep all mains voltages away from human contact. This means no exposed live metal on the upper side of your board where it can be inadvertently touched. Any components with exposed leads that have mains voltage in them should have their leads insulated.
6. Be absolutely certain that, since this is a shield, no mains voltages even come close to the Arduino the shield is plugged into. This is especially critical around such areas as the USB socket where through-hole components (like screw terminal blocks) are likely to short circuit and cause very very nasty things to happen.

Remember: Mains voltages are dangerous, caution and safety should be your first concern over everything else!

One more tip: Do all your mains experimentation as safe as possible. Either ensure that you have an ELCB and an RCD on your ring main / power outlet (with the former you must ensure that you have your earth wires connected properly), or even better (and what I would certainly recommend above all else), use an Isolation Transformer to separate you from the mains circuit entirely. With an Isolation Transformer electrocution is only possible if you contact both terminals at once as opposed to just one terminal of the normal mains supply.

Edit: One thing that does puzzle me with your circuit is how you have wired up the common pin of the relays. That part of the circuit makes no sense to me at all. You should have 2 connections to each relay - in and out where in connects to the NO and out connects to the common pin¹. The only way your arrangement could work would be to designate one relay as a master power control and that one has the main power coming in which then feeds through to the common rail to supply the other three relays. If this is what you want, then you will have to ensure that the relay designated as master (and its connector) has at least three times the capacity of the other three relays and connectors (or all four relays have at least three times the capacity you would otherwise need).

¹ Note: doing it this way around ensures that when the relay is in the off position the NC pin isn't live. The only pin that would ever be live is the common pin. Safety first...!