Most folks use either a wood stove or vented propane stove for heat. Other options include radiant floor heat or electric. Shelter Designs offers a yurt wall chimney jack option if you want to use a wood or propane heat source. We vent all our heating sources out of the wall of the yurt.
We recommend a stove that is rated for twice the square footage of your yurt. If you plan to use a wood stove be sure the firebox is big enough to hold 14-16" logs. A slow long burning fire will ensure you are not waking up in the middle of the night to re-stoke your fire! Some people like Catalytic Converter stove such as Blaze King. These stoves are super efficient and actually re-burn the smoke to generate even more heat, and reduce emissions. It also really matters what type of wood you use. A hot fire can heat your yurt up quickly (think Larch or birch wood), while a slow long burn is better for continual heat (at night, think Doug fir, and Pine). Using well seasoned firewood can also make a very big difference.
If you plan on being gone for long days, and want your yurt warm when you get home, don't like getting up to stoke your fire, or want low maintenance heating, seriously consider a propane stove on a thermostat. If you have framed in a bathroom or bedroom, you may want to consider a additional heat source for the rooms, or make sure to keep the door open to allow heat to enter the room.