Yup Yojimbo and all other aeons are outta there, personally I think killing him off with Kimarhi's suicidal limit break (Self Destruct) can be quite funny it's kinda saying "Hey you know, I'll just do a Dion from FFL3 (the old gb games rock!) and commit suicide to defeat you." Kinda messes up X-2 since Kimarhi should technically be dead and somehow I fail to see Cid having a cloning machine.
Another way to humiliate Yu would be to go in with the characters original weapons, this means no sensors (not that he isnt immune to them) and no break damage limit on your attacks. Unfortunately with 255 of every stat you won't be able to deal less than 8999 - 9999 damage but still pretty humiliating to be beaten by a normal weapon after all the other options.
Alternatively, repeatedly power-break one of your own party, kill off the other two and then simply using the loner limit charge technique kick their asses. I recommend Kimarhi or Auron for this one.