I see there is Data.Aeson.QQ, and there is Data.Yaml, but there is no Data.Yaml.QQ on Hackage.
Did I miss a package or am I going to have to roll my own if I want to parse YAML at compile time in Haskell?
Such a module doesn't exist to my knowledge, but you can still use Data.Yaml to perform parsing at compile time. I'm not sure of exactly you want to do, so I can't really give you more details.
It's been added to Data.Yaml.TH in the yaml package (the quasiquoter name is yamlQQ).