While I would agree that over time one's immune system improves with the practice of youga, but it's not only the physical stretches and poses, it's the whole life style, good, diet, adequate rest, meditation, etc.  It enhances mind, body, spirit; at least it did for me.  However, I stopped the practice and don't know why-guess it's that "path of self-destruction" and now I can only do gentle yoga, which is essentially basic stretches.  I hope I can recapture some of my self improvement and get back to some form of a yogic way of life.

In my own experience, I've found a combination of regular exercise, meticulous eating habits, and supplementation can work wonders for your health.  Like most people, I used to get colds on a regular basis, especially in the wintertime.  A couple years ago I began a fitness program, working out at the gym 5-6 days per week.  I started with a combination of weights & cardio, and now do mostly weights.  Around the same time I also phased into a "diet" including lots of fruits, vegetables, complex carbohydrates, and proteins.    I eat *very* little saturated fat, with an overall target of ~20% fat, ~30% protein, and ~50% carbohydrates.  I also began including a variety of dietary supplements in my daily routine.

I can't say I've reached my goals in terms of fitness, but still, I'm in the best shape of my life, but I haven't had a cold in well over a year, even when working in close proximity with people coughing and sneezing!

So I agree with Greenwoman's comments above - it's all about the right combination of things.  It really works!