Traditionally, a Yogi is a male practitioner of yoga. The term also relates to a male saint and teacher of spiritual knowledge.
Until fairly recently, the term yogini was generally reserved for women. Today, however, the word “yogi” can relate to men and women, especially in Western countries (just as the word “actor” now relates to both sexes, and “actress” is rarely used).
Yogis are usually associated with Hinduism, but the term is also used Buddhism, Jainism, Taoism, and in popular culture.
Yogis take many different forms and various complementary and competing schools can be found within ancient, medieval and modern Hinduism.
Yogis may also possess unconventional spiritual powers called siddhis. However, these are generally downplayed and even discouraged because they are regarded as a distraction to the ultimate goal of liberation through union with the godhead.²
Most serious yogis embrace either celibacy or controlled sexuality with a married partner or meditative companion. On this Wikipedia summarizes the opinions of Andrew Newberg, a medical researcher and media figure:
Modern science now understands that such a code of sexual conduct is also organically assisted by neurochemical changes in brain states of intense meditators (reduced dopamine and increased oxytocin) that induce general relaxation and mental stability, and is not sheerly by willpower alone.³
¹ “Untitled Review of ‘The Role of Divine Grace in the Soteriology of śaṅkarācārya by Bradley J. Malkovsky'” in Journal of the American Oriental Society, Vol. 124, No. 4, (Oct. – Dec., 2004: 813-816), p. 814.
² The alleged levitation of St. Teresa of Ávila during Catholic Mass comes to mind. According to accounts, she was embarassed by the phenomenon and didn’t brag about it. Such an attitude would be contrary to her goal of union with God through humility. See http://en.wikipedia.org/wiki/Teresa_of_%C3%81vila#Mysticism