Egypt
Tiny resort on the western coast of the Sinai peninsula, about halfway between Sharm and Cairo (you can fly to either, and then it's a fairly long drive though they will send someone to pick you up).
It is mainly a windsurfing place but they also run yoga courses which are really good, and also cheap - about £400 for a week half-board, including the yoga but excluding flights and drinks. It's a three star place but clean and with nice airy chalets dotted around the grounds, and a beach-front bar. Food is good and plentiful.
The yoga sessions (when I went a few years ago) are held for 1.5 hours every morning and evening in a shady room just off the beach. Mats and other cushions are provided and you can hear the sea as you practise.
The teachers change every couple of weeks so aim to go at a time when a teacher who interests you is going. The one just before I arrived was very meditation/breathing focused apparently (which wouldn't have suited me) but my teacher was fantastic - very position-focused and good at explaining what you were trying to achieve, so you're actively in the pose and not just standing there with your arms out. So make sure you check out which teacher will be there when you want to attend.
I was travelling alone and really enjoyed the social aspect. The yoga class was very small when I stayed (off-peak) and we always went into breakfast or dinner together after class, and met in the bar later. When I was there they let you bring your own booze for the week and store it in the windsurfing bar so you could drink more cheaply too!
I also did their trip up Mount Sinai to watch dawn at the top, and that was a very spiritual experience which fitted in brilliantly with the yoga ethos. It was about £35. They also had a lady doing massages a couple of days.
The windsurfing/yoga resort is part of a larger place which Egyptians use at weekends, so it got much busier and less 'Western' then, which was an interesting thing to be a part of - we got chatting to some young people from Cairo and played cards with them, which was a great night.
Bring lots of books as there isn't a huge amount to do between yoga sessions. You can snorkel (they lend you equipment) or try windsurfing, but it is often quite windy (there's a reason why it's wind-surfing centre) so I mostly read on sun-lounger behind a wind-break.
www.moonbeachretreat.com
Fly to Cairo or Sharm-el-sheikh