This is my improvment of the very good guide by Zoki, called "Yi, Master of Disaster". Read it first, then read mine. Read it here.

There aren't many changes to the guide, but a few:

Spells: Teleport instead of Flash. For backdooring and harasing 2 lanes at once. For anything else than 5x5 use Flash or Ignite for early kills.

Runes: Greater Quint of Swiftness instead of Greater Quint of Fortitude. Then you don't need Flash as much, and you don't need the extra health because of Trinity. Speed is the key.

Ability Sequence: The same, but I often prioritice Alpha strike for the harazing and gathering. You need MONEY!!

Items: Forget Healt potions, you need mana in the beginning for Alpha Strike.
Infinity Edge is very good, Trinity Force is better. It gives you everything you need.

Quicksilver Sash is good, The Black Cleaver is better. Gives you Damage and speed, AND armor reduction. It's what you need in the final stage.

With this build you are the fastest runner in the game. You have no problem from top to mid in an heartbeat, helping mid, continuing to bot, killing som more and teleporting back top to take out a tower with Wuju and Highlander. I have singel handedly taken down an enemy team with this build, harazing all lanes and taking out towers while my team kept defending mid. You are super-fast, but if you want to go the extra mile and be ultra-fast, buy Boots of Swiftness or Boots of Mobility after selling Berserker's Greaves before buying Bloodthirster.

I want to thank Zoki for a very good guide. All I have done is make it better for me to play, and sharing it with you guys.