Denali has the following “upgrades” over base Yukon or the Chevys:
Acoustic laminated glass on front doors (both have laminated windshield)
Real Wood trimmed interior
Real Aluminum Accents on Interior
Distinctive Dash layout
Enhanced Stitching on seats, console, armrests
Leather padding on dash
Actual real leather seats in row 2 vs pleather
Choice of 4 interior color combos, 3 of them being 2 tone, including a light option.
Fog Lights
LED Tail Lights/Turn Signals/Backup Lights
Standard 6.2 Gasser
Available electronic limited slip rear diff (vs mechanical in the Chevy)
3 years of Unlimited Data for the infotainment
I think that is the list of stuff that is different, up to you if those are worth the extra coin or not.