I've been trying to understand the Yoneda Lemma. I have done all of the diagram chasing and understand that the naturality is dependent on one element $id_x$ and all arrows all naturally extended from this point. But what I don't get is how there can be a bijection from $\text{Nat}[\text{Hom}(x,-), F(-)]$ to $Fx$. What does make sense at this point for me is that there can be a bijection between $\text{Hom}(x,x)$ and $Fx$. But when you look at $\text{Hom}(x,y)$, this would get mapped to $Fy$ and there would be no corresponding point in $\text{Hom}(x,x)$ so I cannot see how it can have a corresponding point in $Fx$...
The fact that the elements of $Fx$ is in one to one correspondence with all natural tranformations between the two functors is very amazing yet still mysterious to me. What am I missing here?
The first thing you want to see is that any $a\in F(X)$ determines a unique natural transformation. Define $\phi:\mathrm{Hom}(X,-)\to F$ to be the natural transformation whose component at $Y$, $\phi_Y$, is the function $f\in\mathrm{Hom}(X,Y)\mapsto F(f)(a)\in F(Y)$. To see that this gives a natural transformation, take any $g:Y\to Z$ and see that $$\phi_Z\circ \mathrm{Hom}(X,g)(f)=\phi_Z(g\circ f)=F(g\circ f)(a)=F(g)(F(f)(a))=F(g)\circ\phi_Y(f).$$ In particular, notice our definition of $\phi$ implies that $\phi_X(id_X)=a$.
Now let $\psi$ be any other natural transformation $\mathrm{Hom}(X,-)\to F$ with $\psi_X(id_X)=a$. What does $\psi_Y(f)$ do to a morphism $f:X\to Y$? Because the action of a Hom functor on morphisms is defined by composition, $f=\mathrm{Hom}(X,f)(id_X)$; and by naturality, $\psi_Y\circ\mathrm{Hom}(X,f)=F(f)\circ\psi_X$; so $$\psi_Y(f)=F(f)\circ\psi_X(id_X)=F(f)(a).$$ But this means that each $\psi_Y=\phi_Y$ for any $Y$, or that $\phi$ and $\psi$ are the same natural transformation. So a natural transformation $\mathrm{Hom}(X,-)\to F$ is uniquely determined by the image of $id_X$.
So for any $a\in F(X)$, let's denote by $\theta:F(X)\to[\mathrm{Hom}(X,-),F]$ the map taking $a$ to the natural transformation $\mathrm{Hom}(X,-)\to F$ that takes $id_X$ to $a$. We have just proved that the function $a\mapsto \theta(a)$ is injective; but obviously, every natural transformation sends $id_X$ to some member of $F(X)$, so it's also surjective.