Sync with yahoo's calendar...

I've seen a 3rd party solution to sync with Google calendar (check out spanningsync.com)

If you have a PC you can download the yahoo sync tools and sync the yahoo calendar to Outlook (or outlook express) and do it that way.

Not directly. iTunes (and iPhone) only currently talks to Outlook 2003 and up on the PC, and iCal and Entourage on the Mac for calendar information

http://docs.info.apple.com/article.html?artnum=305703

Is this possible?

Yes, try Plaxo.

http://www.plaxo.com/