"Aji" means chile pepper in Spanish, and "amarillo" means yellow. But although they are named yellow chile peppers, their color changes to orange as they mature. The famous Peruvian chef Gastón Acurio recently named aji amarillo the most important ingredient in Peruvian cooking. Aji amarillo is used in many classic Peruvian dishes, such as causa rellena and papa a la huancaína.
If you can't find aji amarillo in your produce section, look for frozen aji peppers or aji amarillo paste in Latin food stores.