Yeti lives on Mt. Everest and is suggested to be the father of Moe Szyslak. This is strengthened when Moe says in Lisa Goes Gaga that he is half monster. He is seen in the episode Moe Goes from Rags to Riches. Moe once said that his father was a circus freak.
It turns out that Moe's father wasn't actually a yeti, as seen in a flashback where he and Moe were singing "Only Springfield".