I haven't, but that is something I would like to do with my Yorkie in the future. A dog trainer told me that agility training creates an incredibly strong bond of trust between you and your dog. That is why people get so hooked on it....
I wanted to join Violet, but she has a luxating patella on her hind knees, so my vet did not recommend it. (Also, as a pre-requisite for agility, the dog should be fairly consistent with basic obedience commands --- and let's just say that Violet is not exactly an obedience champ.

)
Maybe for a future Yorkie of mine....