Yoga means Union. Specifically, the union of the individual self (Atman) with the Universal Consciousness (Braman). Thus, Yoga is a technology of enlightenment.
The most commonly seen form of Yoga is Hatha Yoga, which uses physical excercises to produce a firm platform for extended sitting meditation, helps energise, heal and strenghten the physical body, and in advanced stages converts the matter of the body from "Tamas" (heavy, dark energy) to "Rajas" (active, firey energy).
Pranayama, the breathing excercises which follow or accompany Hatha practice, serve to infuse the "energy body" with light/consciousness, or in Indian terminology, to convert "Rajas" to "Sattvas" - energy to light. (see gunas for more on these terms)
Aleister Crowley taught extensively on Yoga, although there are now much more readily accessible and comprehensive teachings than his availible in the west. In particular, B. K. S. Iyengar's translation of the Yoga Sutra of Patanjali is an unrivaled work on yoga philosophy, although it won't teach you any of the funky bendy postures.
Yoga is sometimes said to have been developed by the Tamil Siddhas - a group of magicians who developed great spiritual power and transformed their bodies into indestructable spiritual vehicles.
Brief descriptions of the different types of yoga:
Bhakti yoga is the path of devotion (to the Divine). It is pure selfless love from the heart. A bhakti yogi feels that whenever he thinks of God, God thinks more of him. A relationship between a Bhakta and God can never be described in words.
Karma yoga is the path of selfless service. For a karma yogi, the activities of human life are a God-given opportunity to serve Him. He does not feel that the world is an illusion, does not encounter the ego-given 'highs' of success or the 'lows' of failure. Thus a karma yogi is detached while carrying out his duties on the earth.
Jnana yoga is the path of knowledge. A jnana yogi wants to understand the transcendental truth. He wants to solve the mystery of birth, death and the purpose of life. Hindu scriptures describe a Jnani yogi as one who utters Neti, Neti meaning 'not this, not this' to differentiate between what is permanent and impermanent. He uses viveka (discernment) for moving on from avidya (ignorance) to vidya (knowledge). He discerns that the world as perceived by the senses is not real, but an illusion conjured up by the mind.
Raja (Asthanga i.e. eight-step) yoga was developed by Patanjali.
The eight steps that would lead a seeker from ignorance to Truth are:
Niyama: Strict observance of character
Asanas: Body postures
Pranayama: Breathing exercises, and control of prana
Pratyahara: Withdrawal from sense-desires
Dharana: Concentration on an object
Dhyana: Meditation on the Divine
Samadhi: Union with the Divine