Every water heater, gas or electric, should have a temperature and pressure relief valve, commonly called a T&P valve. Your water heater isn't safe without one. It's so important, in fact, that many states require factories to install T&P valves rather than leaving the decision to homeowners and installers.
The T&P valve is crucial because a water heater is a pressurized tank, and all such tanks need a way to release pressure if it becomes too great. As water is heated, it expands, increasing pressure. If something goes wrong and the tank overheats, the pressure could rupture the tank. To prevent this, the T&P valve monitors both water temperature (210 degrees maximum) and tank pressure (400 / 600 Kpa maximum) and opens if either goes too high.
The T&P valve is the only protection against both excessive pressure and high temperature. Both electric and gas water heaters have thermostats, and electric ones also have overload switches (the red button above the top thermostat). But if the city raised its water pressure without telling you and if your water heater was set at a high temperature, the tank could rupture. Without a working T&P valve, a pipe could blow off the heater (after its plastic or solder melts) or the tank could explode.
If ever you turn on the hot water and see steam coming out of the faucet, your T&P valve has failed. Leave the faucet open, walk out of the house immediately and call a plumber. You do not want to be in the house, or even close to it, if the tank explodes.