Yeah sounds like Yngwie was more into showing off than actually trying to teach someone about his style. His technique is basically either playing a scale ascending to a given chord really fast, or just messing around with the arpeggios within a given scale. That's mostly what he does, and if you want to imitate him just do that. Standard Classical repertoire.

To add with what SLY said about picking the right scale for a chord progression. Just match it like this:

Any major chord: Use the pentatonic major scale. Match the root E major chord, E major pentatonic.

Any minor chord: Use the minor pentatonic scale.

Diminished and Augmented: Whole tone scale.

This will get you started. While your working on these, pick up some theory (chord and scale analysis). Once you get familiar with these try using other scales. Scales that work best over a chord contain the same notes. Like a G mixolydian mode goes good with a G dominant 7 chord because both have the notes, G, B, D, and F. That's should get you started. Once you learn more scale and more theory, you'll get to understand it better and be able to grasp your own style.

[Edited by noticingthemistake on 06-25-2003 at 11:38 AM]