The have the ability to use personalized magic and can learn to cast illusions and glamours. This allows them to hide their inhuman features and provides invaluable advantages when it comes to espionage, stealth and infiltration.
A youma can be prevented from accessing its magic with prayer strips imbued with spiritual/magical energy. 
Some youma have the ability to posses items and/or humans. This process seems to work in a different way than the Possession spell.
Ami has found that the youma she rescues from the Eternal Sleep are highly effective against the enemies she faces. For example, Mareki's water spray is lethal to vampires.