Guys, I really think I should be getting better yaw values from the Gyro. I found this:
http://code.google.com/p/imumargalgorithm30042010sohm/
This shows some pretty decent output which leads me to believe that my unit could be broken as the Yaw value doesn't change at all when I rotate around that axis. I noticed that on the sparkfun page for this item, someone else had a similar problem. I've emailed the chap from the link above in the hopes that I can figure this out. At the moment, the lack of decent/any yaw (no need to use a magnometer just yet) is halting my project 
Im wondering if there is something else im missing here. I've tried the kalman filter approach as well and that seems worse than just using the raw gyro values :S