Visual Studio Code has a decent Vim extension. I use it by default and sometimes wish I could yank to and paste from the system clipboard. Thankfully, this feature is available in the Vim extension, but turned off by default.
To turn on this feature, set the vim.useSystemClipboard setting to true. You may need to restart VSCode for it to take effect.
Note that you can yank text to the clipboard of your OS and also paste from it into VSCode using Vim.
Tried with: Vim extension for Visual Studio Code 0.11.5 and Visual Studio Code 1.22.2