Depends on what fan you have in mind. DC or AC? If it is a DC fan with voltage up to 24V, you can use a BJT or MOSFET transistor. If you are using 240VAC fan, you might  try using a TRIAC. Although, using a relay would be a safer bet. But if relay can be used to speed control, you can only do speed increment in steps. Something like the speed buttons on your AC fan. I have not gone into controlling speed using relays before. But since the AC fan uses switches to control the speed, most probably you can reverse engineer how the AC fan does it.  Hope this helps a bit.