Yoga is from the Sanskrit word Yug meaning union (with the Divine, your higher “SELF”). Yoga is a path for transcending the ordinary mind (who you think you are) in order to merge with your “higher SELF” or “God SELF”.
“Man, a projection of Brahma, “made in the image of God,” has never been other than Complete and Perfect. But few truths are less acceptable to the ordinary mind of Western man. How can it (ordinary mind) engage in its cherished activity of “self-improvement,” on which it thrives, if Perfection already IS? No, it will have none of this illogical “Perfection” input. Left to its own devices, ordinary mind will make certain that civilized man will spend all eternity becoming a “better” creature by “discovering” his potential, “expanding” his consciousness, and through other, innumerable self-improvement ventures. At the same time, ordinary mind makes it clear that man can never actually arrive at the ultimate state of Perfection (an important axiom of the conspiracy is that “nobody’s perfect”), but he can become an increasingly improved person. He may approach God in an eternal subject-object relationship but he can surely never become perfect enough to BE ONE WITH God. Man is NOW Complete and Perfect and could not be otherwise. The transcendence of self, so that SELF, the true state of Perfection may be recognized, is the objective of Yoga practice.”
— Yoga: the 8 Steps to Health and Peace by Richard Hittleman.
There are a variety of yoga practices. All of them are considered to lead to the same goal of merging with the higher SELF. You can choose a path which best suits your personality and disposition. The following is a brief description of each of the main Yoga Paths.