The idea that "the self is an illusion" has become the bien pensant common sense of the day in many educated circles in the West. I think this is profoundly misguided, but I can see why it seems so compelling. In the English language, nouns label things while verbs label the things that they do. If you mistook this linguistic quirk for a deep philosophical truth then you would of course conclude that the self doesn't exist, because there is no single thing that "I" or "you" refers to. That is because on close examination "I" turns out to be a verb disguised as a noun.
Today's polished yoga centers and Bikram studios are only the latest incarnation of a tradition that has adapted to fit changing cultures for thousands of years. Nations have risen and fallen. Religions have come and gone. The apple of ideas has passed from Eve to Newton to Jobs. But yoga, in some form or another, has remained.