This is called
De ye e -ismo.
- m. Fon. Desaparición de la diferencia fonológica entre la consonante lateral palatal y la fricativa palatal sonora, de manera que, en la pronunciación, no se distinguen palabras como callado y cayado.
And I found this entry in Wikipedia which shows a map of the different countries differentiating whether there is yeísmo or not. From that list I can conclude that:
In Paraguay and Bolivia there is no yeísmo.
In the north of Argentina, north of Chile, east of Perú, east of Ecuador and almost the most part of Colombia (except the north) there is no yeísmo but there is in the other areas of those countries.
In all other American countries (Uruguay, Venezuela, México and the Central American countries yeísmo is the standard.
You can also see the map of Spain in that link, but since I am not familiar with Spanish geography, I won't be digging there.
This is quite interesting since I am from Chile and can't say that in those areas marked in the map in my country actually people make such distinction, but maybe I just don't notice the difference.
Anyway, I don't believe that noticing such a difference will help me to understand whether people are saying
valla (fence) or
vaya, you just get that from the context. So as an advice, don't waste much time on that while learning.