As a runner, I had the same feeling about yoga that you do. It couldn't possibly burn enough calories to constitute a full workout. That was 6 years ago. Now I'm a complete devotee to yoga. The amount of strength it takes to reach the advanced levels of many yoga poses is staggering. I haven't found any other exercise that truly sculpts my body the way yoga does.
It will take you time to perfect the poses. You can start off at the beginner classes at your gym. You'll need a mat. Don't get the extra thick ones that say they are for yoga/pilates. They're too thick and make balancing poses difficult. I also use yoga gloves. I have very skinny hands, fingers and wrists. The gloves provide a little padding and prevent slipping out of poses.
I do power yoga which incorporates cardio with a constant flow of yoga positions. I sweat buckets and get my heart rate way up. You can move into power yoga classes after mastering the techniques and learning the different poses.
I have back and neck issues stemming from a car accident years ago. Yoga definitely helps with my pain. There are certain poses I have to stay away from because of my neck. So, if you have any issues, let your instructor know before you start. Good luck, hope you enjoy it as much as I do.
I agree that yoga classes at they gym can be just as awesome as at a yoga studio, it really depends on the instructor. Shop around until you find an instructor that you love and one that suits you and your style.
I don't agree on the comment about the thick mat though. I bought an extra thick yoga mat for the additional padding for the postures that are hard on the knees. Some people that have issues with balance prefer to stand off their mat altogether.
Clothes to wear, you just need something comfortable. The clothes that you would normally wear to work out in are just fine, you can get fancy and buy yoga clothes but as long as you're comfortable that's all that matters.
There are so many health benefits to yoga, if you find a great instructor they will tell you what each posture is great for. My fiance had a hump in his back from the computer and lower back problems, his hump is nearly gone and he doesn't suffer back problems any longer. But don't expect miracles, and do understand that the benefits will take time. You'll feel great after each session, but the overall long term benefits will depend on your personal body.
Hatha Yoga is great for beginners, it will introduce you to all the basic elements to get you started.
To damone: Yoga will certainly help with anxiety. It's very peaceful and relaxing, even when you're sweating and pulled in positions you didn't know you could do.
I just want to stress again how important it is to find the right instructor, if you don't like the first class you go to, try another one.