There's a substantial difference in meaning between the two:
'again' just says something recurred or occurred again.
'yet again' says something recurred or occurred again, AND you are not quite happy or enthused that it happened again, or you are questioning why it happened again.
"They went on holidays again" = I am only saying they went on holidays another time. I am not saying any more than that.
"They went on holidays yet again" = I am saying they went on holidays another time, BUT, I am also questioning why they did it again. Perhaps I am personally frustrated they have the money to do it and I don't. Or perhaps I think they shouldn't have gone again so soon.