I think it depends on what kind of Yoga your doing. I do think you can class it as exercise, as your body is working. I do Kundalini Yoga, which involves a lot of movement, so probably more calories burned with that possibly.
I agree, I do feel good after a session, especially in the morning when I've just got out of bed and I'm all stiff, it loosens me up and makes me ready for the day I use Ana Brett DVDs There's this full one on YouTube but I did start out with her 'Beginners and Beyond' one.