What it isn't?
A lot of people misinterpret Yoga as a bunch of people bending themselves into weird positions. In fact there is a whole Yogic Science and philosophy behind it. When westerners think of Yoga they are actually thinking of a form of yoga called Hatha Yoga.
What it Might be
A highly recommended and really thoroughly written page on what Yoga is or isn't <shakes finger at aristotle> check out Swamij's interpretation.
Wikipedia has also done an extensive job explaining what Yoga is, check that out as well.