I don't see yoga and Pilates as an either/or question. There are some similarities, but the goals and focus are really different. For a pure "workout" Pilates would probably be best, while yoga is more of a whole-body-and-mind discipline. You might want to take a look at this article by Kathy Smith which explains the differences: http://diet.ivillage.com/workouts/0,,h3bz,00.html
As for videos, I really recommend the Gaiam "Yoga for Weight Loss" and "Pilates for Weight Loss" series. The "for weight loss" doesn't mean they are extraordinarily calorie-burning or anything, but that they are made with overweight people in mind, and offer modifications of most moves -- if you can't do it the classic way, they offer easier ways to get the same effect until you can work up to the more difficult move. If you get the DVD rather than the tape, you can actually choose which version to watch throughout the session.