I actually work at a yoga studio and have taken pilates sessions here in NYC. They are very different and a lot of people are fans of one or the other but rarely both.
Here are a few of the DVDs I recommend for both:
YOGA-
Cyndi Lee- OM yoga Beginner/Intermediate (I am biased because I work at her studio, but she really is fabulous and is fun/playful with her yoga practice)
Rainbeau Mars (Any of her DVDs)
Sean Corne- Vinyasa Flow 1 and 2
Shiva Rea- (Any of her DVDs)
Hemalaya Behl- Yoga for Urban Living
Rodney Yee has a ton of yoga dvds out, but I just am not a fan of his. I find that his personality can't keep me interested in the dvd.
PILATES
I am exclusive with my Pilates instruction as I am studying to get certified eventually. You should check out
www.pilatesonfifth.com. Not only do they have a dvd, Pilates on the Go, but they also have podcasts on iTunes and a new website
www.ultimatepilatesworkouts.com where you can get free basic pilates workouts or pay for more.
Pilates is a bit difficult to do correctly through a dvd because of the precision that is required for each exercise to be effective. If you have the money, I recommend getting one private session so you can get the most out of your dvds.
Sorry for the long-windedness. Hope that helps!!
Lindsay