Yoga has been integral part of Indian life since the time immemorial. The world "Yoga" is derived from the Sanskrit root 'Yuj' meaning to bind and yoke.
It is true union of ourselves with our core level which is Aatm Brahm (self GOD).
The various paths, practices and disciplines of Yoga are intended to help us realize our eternal or Divine nature, which is pure awareness transcending all duality and desire. This is the ultimate goal of human existence for which all other labors are merely preparatory. Yet since the beginning of history we have always imagined a quick and easy way to God, a spiritual path without tears or struggle, a path free of pitfalls we can follow to the end quickly, without great effort or sacrifice.
But genuine attainment is not possible without preparation. An instructive image occurs in the Vedas: before we are able to drink the Divine Soma (the nectar of immortality) we must have a properly prepared vessel, one that can contain this hot and penetrating nectar without breaking. If the nectar is poured into an unbaked vessel, it will shatter and the soma will be lost. We are the vessels, and yoga is a methodology for preparing us to contain the Divine Soma or inner bliss. We are properly prepared when we have attained a certain degree of purity, maturity, and strength of body, mind, and heart. Without preparation, we are like unbaked soma vessels, running after the spiritual nectar without concerning ourselves with our ability to handle it.
There are many types of Yoga, namely Karm Yoga (Way of realizing God by detached actions), Bhakti Yoga (Way of realizing God by devotion), Sankhya Yoga (Way of realizing God by Meditation and Austerity).
To understand the first two type of Yoga you should read Bhagvadgita. Bhagvadgita is a portion of great historical epic Mahabharata. This is the largest epic in the world. It compiles the facts about Krishn, Pandav and Kaurav. Bhagvadgita covers the section where Krishn(Manisfestation of GOD) explains His friend and devotee Arjun the greatest secret and reverred truth of the universe. He explains to him the immortal nature of the soul and how it derives from Him. He also describes to Arjuna how this whole universe is created and how it is inhaled by Him.