Hello and welcome to my Master Yi build. This is my first build and my English is not perfect so please don't flame me for either.
Yi was my first champion and is still one of my favorites.

+ extreme damage
+ Highlander Skill allows easy double and triple kills
+ can take down a tower extremely fast

- very squishy (needs high life steal to survive)
- CC-heavy teams can easily kill him if you do not play careful
- Spiked Armor can do a lot of pain to you, mostly in midgame (late game your lifesteal will counter it)

Greater Mark of Desolation and Greater Quintessence of Desolation coz ArP is the best choice for melee dps.

together with "Evasion" mastery gives you a dodge chance of 6.75 % + 2 % = 8.75%

for a CDR of 5.85 %, which is useful for almost all of your skills. You can change these as you like, for they are not necessary fot this build.

I chose 21/9/0 for more survivability and for the dodge triggered effect.
You can instead take 21/0/9 (Good Hands 3, Perseverance 1, Awareness 4, Utility Mastery 1) for more XP and better jungling capabilities.

I start with Boots and 3 Health Potions. I chose 3 Health (instead of 2 Health Potions + 1 Mana Potion, which many people prefer), because I find that Master Yi has some survivability problems early game and can be easily harassed. Also, Clarity should fix most of your early game mana problems.
Berserker's Greaves and Vampiric Scepter (for survivability) are next. After buying these you will be able to stay in lane quite long.
Phantom Dancer (begin with Zeal) for more AS, Crit Chance and MS is next.
Sword of the Divine, so that if your ult is active, you will hit the AS cap (2.5). I find the temporary +30 ArP very useful since it will leave most champions with nearly no armor and tanks will at least have much less. The "undodgeable" effect can also be very useful against Jax and against any champ with Ninja Tabi and/or Evasion Seals.
After that, simply buy 3 Bloodthirsters for an insane amount of damage.

Situational / Alternative Items:

Against very CC-heavy teams: Banshee's Veil or Quicksilver Sash (replaces a )
Black Cleaver instead of the SotD, depends on taste.
Madred's Bloodrazor against very tanky teams (replaces or a ).

Highlander > Wuju Style > Alpha Strike > Meditate

Ghost for Chasing and Escaping.
" Clarity? wtf?" you may say. I love it with Yi, cause when your skills reset with higlander, you will have the mana to use them again. This gives you the Ability to score easy double kills and sometimes triple kills. Also it's quite useful early game for farming with Alpha Strike.

Others

Exhaust for chasing and escaping. I like Ghost more, cause you can escape from more than one champion and chase more than one champion with it.
Flash is nearly useless on this Yi build cause you have a really high MS and can escape even if slowed cause of Highlander.
Cleanse: if you can use it, it may be an option to compensate Yi's CC-vulnerability.
Heal can be useful in laning phase if you are not used to a squishy melee and have suvivability problems.
Inflame is not very useful cause you can chase really good and your lifesteal also makes towerdiving quite easy.

Alpha Strike has mainly two functions: farming and chasing. Do NOT use it to initiate a fight, for it will not be availabe for chasing then. Only Exception should be to get to an enemy as fast as possible (for example to help an ally).

Meditate can be useful in laning phase but i find it quite weak on AD Yi in relation to the other skills, so i level it last.

Wuju Style: DAMAGE, DAMAGE, DAMAGE. Use it when initiating a fight or taking down a tower.

Highlander: Use it when initiating a fight for more DPS, when taking down a tower or for escaping.

That's it.
Constructive criticism is always welcome.
Please dont downvote without a comment.