In the comics, Scarlet Witch and her brother Quicksilver were believed to be the children of Magneto for about 40 years, but that history was recently rewritten.
Scarlet Witch is initially depicted as a mutant, born with the ability to alter reality in unspecific ways. Originally introduced as the daughter of the Golden Age superhero Whizzer, a retcon later established she and her twin brother Quicksilver were the children of X-Men villain Magneto. This parentage was their status quo until 2014, when a further retcon revealed that she and Quicksilver were in fact non-mutants who had been kidnapped and experimented on by the High Evolutionary, and then misled to believe that Magneto was their father.
The films are even more complicated, since the rights to Scarlet Witch and Quicksilver (but not Magneto) are shared between Fox and Marvel studios. Fox has the film rights to all mutant characters, but Marvel agreed to not even mention mutants in their films. Since Scarlet Witch and Quicksilver have been core members of the Avengers for many years, Marvel is allowed to use them, but not allowed to call them mutants. Fox included Quicksilver's sister in one scene in X-Men: Days of Future Past, but it's his younger sister, clearly not his twin, so we are left to assume it's his younger sister from the comics, Lorna Dane (Polaris).
So, while Wanda can appear in Fox Studio's X-Men films, so far they haven't included her. Marvel is currently forbidden from using Magneto in their Avengers films, so it's unlikely we'll see them all together any time soon, unless Marvel and Fox strike a deal similar to the one Marvel made with Sony regarding the rights to Spider-Man.
The situation in the films is still evolving, but since this answer was originally posted, Fox film studios were purchased by Disney, bringing the rights to all of the X-Men characters to the MCU. It's still not certain how they'll be introduced, or what, if any, relationship there will be between Wanda and Magneto (assuming Magneto will be in future films). It has been established that Wanda had a brother (Quicksilver) in the MCU, and that the Quicksilver in the Fox X-Men films was Magneto's son. We'll have to wait and see how those relationships are resolved as the story unfolds.