State one is a state of deep relaxation. Very commonly these days the term yoga-nidra is used for the processes/exercises preparatory to yoga-nidra. These are often also being taught by many teachers in a fragmentary manner.
There are many different such preparations in complete sets, each exercise fitting at a certain place in the sequence in the set.
During these practices the brain produces alpha waves which in higher exercises then verge on theta.
These higher exercises may also be used for self-healing.
State two is an interim state between One and Three. Used for creativity, invention, 'receiving' decisions and solutions to problems, composing lectures and research papers and poetry and constitutions or minutely detailed action plans --- and such other purposes. Here the brain produces theta sometimes verging onto delta.
In state three the preparations taught in State One lead to the true yoga-nidra, entry into abhava-pratyaya, cognition of negation (Yoga-sutra 1.10) in a cave in the heart centre.
This may require an advanced teacher initially leading the aspirant into this depth. Swami Rama of the Himalayas recommends that one not remain in this state more then ten minutes at a time.
During this state the brain may initially produce theta and then, in depth, go into delta waves. Here the yogi is in deep non-REM sleep, so far as the brain wave activity shows, but is aware of his surroundings.
State four is not limited to a ten minute experience. It is the kind of sleep that yogis sleep even up to three and half hours. Here the mind simultaneously remains at two levels: (I) One layer of the mind in sleep in the ordinary sense of the word, and (II) a deeper layer of the mind remaining in conscious a-japa japa and meditation which, here, is awareness of the person-wide awareness of kundalini. Some yogis take half of their sleep in the common sense of the word and the other half in this level of yoga-nidra. Here one may alternate between theta and delta.
One who practices such sleep may remain looking younger than his/her years.
Only when the States One and Three are fully mastered, one will learn to glide into the State Four.
Turiya : When States Three and Four have been mastered, one is at the gates of turiya and may slide into it. Then, not earlier, yoga-nidra becomes turiya, the two becoming indistinguishable; brain wave becomes a flat rate.
On the cosmic yoga-nidra of Being, at another time.
See also "Yoga Nidra - Methods of Conscious Sleep" for a working definition.