Are there any advantages to Wifi shields as opposed to a Yun?
There's a number of things to consider that could sway your choice one way or another:

Power consumption

The Uno is a small low-power chip to which you add WiFi. The Yun is an Arduino Leonardo with a WiFi router (like you have on your desk) strapped to the back of it.  The Yun will therefore consume considerably more power than the Uno.

Boot time

The Uno takes about 1 second to boot up - faster (instant) if you remove the bootloader and program it direct with a programmer.  The Yun takes minutes to boot.

Stability

The Uno is a solid state single item. The Yun has an entire operating system with filesystems and things.  It's far more likely that the Yun will corrupt itself through power loss than an Uno will get struck by a stray neutrino.

Cost

Yes, the Yun is cheaper. But is cheap always good?

Remote-ability

The Yun can be completely reprogrammed remotely. A new sketch can be uploaded to the Leonardo portion of it without you even having to be in the same country. The same can't be said for the Uno.

Power

The Linux portion of the Yun is considerably more powerful than any normal Arduino.