Living between Temple Meads and Parkway, Parkway is definatly nearest as Temple Meads is nearer the centre of town. I'd imagine a lot of people would have to change at TM, but its only a 5 min journey between the two on the train.
I don't really know about Yate station, but I imagine there are less trains that way.
I use both TM and Parkway quite a bit with travelling home from uni
ETA: there is also a teeny weeny station called Patchway which might be even closer, but having only ever cycled past it I haven't a clue about its usefulness!