"Cachai" is the most frequent conjugation of a verb in Chile, which is not a Spanish verb or conjugated correctly.
The verb in question is the English verb "catch", spelled with Spanish orthography, and only used in the figurative sense of "Do you comprehend me?". It should be "Cachais", second person, but Chileans routinely drop the "s" sound. Thus, "Cachai". (It is occasionally used in other conjugations.)
Although its use is seen as someone slang and rude, it permeates Chilean conversation, and many casual conversations will feature it as a question tag after each statement, equivalent to "Know what I'm saying?". It can also be paired with the word "weon", and if a Chilean starts peppering you with "Cachai Weon", it means he either really likes you or really doesn't like you.
Like any other Chilean expression, it will confuse or offend any other native Spanish speaker on the planet.