Yee Naaldlooshii is Navajo for roughly "that which travels on four legs".
Essentially it's an aspect of witchcraft and lore. It's said that a group of witches will meet, and that these individuals will bring with them the skins of animals that they wish to 'enter'. Through a ritual of chanting, dance, these individuals become the skin. This story has several negative connotations attached to it- as it is assumed in most of the various lore that these skinwalkers assume the forms they do as a means to do evil deeds.
Some variations give them "werewolf-like" traits, but they are quite different in that you cannot turn into one by being bitten in the tales and their transformations do not depend on the moon. In the stories I've read, one has to be trained by a skinwalker to become a skinwalker.
Other than that, I do not know much more.