For some, the word refers to the "yoking" in the sense of "integration" -- the integrity (oneness) of the individual and the cosmos (Stoler-Miller 1988).   For others, it describes the personal discipline required to gain control of the senses so you can free yourself from the suffering that accompanies the pursuit of material wealth. 

Some describe is as the vital existential experience that reunites a person with his or her innermost center of being (Chaudhuri 1965). Others focus on a purpose to unite body, mind and spirit in order to reconnect the individual with the divine intelligence that orchestrates the universe (Chopra).

Yogais also considered a way of being in the present moment or a mode of existing in the awareness that everything is interconnected (Stone 2008).  Some experience it as a way of returning to the original creativity that permits us the freedom and benevolence of spirit to begin with ourselves as we already are (Stapleton 2004).

Sometimes the same person describes it in different ways. For example, Iyengar characterized it as the union of the will of the individual with the will of God in 1966, and also as the union of body with the mind and the mind with the body in 1988.

 

  The Yoga Sutra of Pantajali,  said to be the oldest (1700 years) and most detailed exposition, yoga,  refers to both the process of discipline -- yoking/disciplining the mind -- and the goal of achieving enlightenment -- the state of total spiritual liberation (Stoler-Miller 1988). 

The five kosha  span the whole spectrum of human nature, and form the basis for personal evolution in yoga.  As you pierce each veil and experience new perceptions, your consciousness expands, or "evolves".   In fact, each kosha is named by a word that is made up of two parts:  a word naming the level, such as food (anna), energy (prana), mind (mana), intellect vjanana plus the word maya which means "appearance" in the sense that something looks like one thing but is really something else. Yoga understands that our true nature is divine, and that this truth is obscured from us by the kosha. Hence, yogic practices are designed to help us pierce each veil until we reach our inner light -- the light of pure consciousness.

The first kosha  (annamaya kosha) is the most gross -- the physical body.  It is at this level that the practice of asana, physical postures, is most important. Here we learn to take care of the body, to protect it and strengthen it so it will be able to support our inner work.

The second kosha (pranamaya kosha) is still somewhat gross -- energy.  It is at this level that work with the breath, pranayama, assumes particular importance. Here we learn to manage our energy, to allow it to flow freely without becoming distracted by its fluctuations, often experienced as emotions.

The third kosha (manamaya kosha) is the first level that cannot be experienced by the physical senses -- the mind. Manas is the kosha where thoughts and emotions are processed. It controls the body and its energy in the sense that it directs your activities in the physical world. However, because it bridges the gap between matter and the more subtle kosha, it can lose touch with the reality that it is not really in control.  It falls prey to desire, wanting things, and aversion, avoiding things, both of which result in  disatisfaction with the way things actually are.  At this level, meditation is a key tool for practice. With meditation, you learn to witness the mind, rather than be controlled by its thoughts.

The fourth kosha (vijnanamaya kosha) is even more subtle -- wisdom.  Vijnana literally means "knowing", and refers to the process of discrimination and  identification, but without judgement.  At this level, you experience your "I-am-ness", your existence as something separate from the world around you. Your sense of "I-am-ness" is powerful and empowering. It does not reject or desire; it simply is.  Here is where you experience insight, moment of spontaneous awareness that you are part of something beyond your body, you energy, and your mind.  Daily practices -- sadhana -- allow you to progressively access this kosha more and more.

The fifth kosha (anandamaya) is the deepest kosha of all, is also the most subtle -- bliss.  Ananda refers to a way of attending to experience that is completely different from manas and vijnana.  It is peace and joy, love and compassion.  It is simply being present.  In the silence of deep meditation, we experience ananda.  

Swami Jnaneshvara Bharati describes the five kosha as lampshades covering the light of pure consciousness.  The light that the kosha  shades is atman, the true Self that is one with the universe.
http://www.swamij.com/koshas.htm