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User guides provide an introduction and comprehensive overview for each YUI component. They introduce the component's features, describe how to get started, and walk you through what you'll need to know to get the most out of the component.
Each guide is chock full of sample code and general usage advice, so this is a great place to start when you want to learn about a new component.
Examples walk you through how to create a complete implementation of specific functionality using one or more YUI components. They're heavy on code and light on words, so if you just want to cut straight to the meat and see YUI in action, this is where you'll want to go.
Tutorials are informative articles on advanced topics, including cookbook-style recipes for complex implementations that span multiple components. Dive into tutorials when you're ready to learn more.
API docs provide concise documentation on every module, class, method, property, attribute, and event in the library. While user guides and examples are good when you want a gentle introduction to a component, API docs great when you need a searchable reference that gets right down to the gritty details of a particular piece of YUI's API.