Relaxor ferroelectrics (RFs) are a specific type of polar dielectrics. The definition of RFs is rather vague. However, it is usual to associate it with exceptional properties of this group of materials. That is, a broad and usually enormously large peak and a strong frequency dispersion of dielectric permittivity as a function of temperature. In contrast to ordinary ferroelectrics, the dielectric anomaly is not connected with any macroscopic structural change. Yet, there are inorganic systems, which have a RF type behavior down to certain specific temperature, at which an actual structural phase transition occurs. A good example of such behavior is PbSc0.5Nb0.5O3 and PbSc0.5Ta0.5O3. It would be interesting to investigate, if RFs of different composition actually possess the complete set of features attributed to RF type materials. Furthermore, it is interesting to find out, if it is correct to have a term of “RF phase”. Non-linear susceptibility is a powerful tool to characterize phase transitions. According to the theory of Landau-Ginzburg-Devonshire, ferroelectric systems, which display continuous (2nd order) phase transition, have negative third order susceptibility (χ3) in paraelectric state and, with decrease of temperature, χ3 changes sign to positive at the temperature of the phase transition. In case of a discontinuous phase transition (1st order) the sign of χ3 is positive and remains unchanged throughout the vicinity of temperature of the phase transition. In this contribution we will present some examples of typical results of investigations of non-linear dielectric susceptibility of some RFs.