One of the things that prompted me to buy an iPod was finally being able to connect it through the factory fitted radio/CD in my 2005 VW Golf. I did consider replacing it with a unit that had a dedicated aux input or iPod connection but then you have the hassle of remembering to remove the fascia as a security precaution.
First I tried an FM broadcast gizmo that powered from my cigarette lighter. The sound quality was a bit hit and miss though depending on the strength of the local FM radio signals in the area you were driving through. I bought mine from eBay as they are technically illegal in the UK.
Next I tried an FM transmitter that you wire in-line with the car aerial. In theory this ensures a good signal with minimal interference. Unfortunately after removing my head unit I discovered that it has non-standard aerial connectors so this idea was a non-starter.
Finally I came across a product from Connects 2 that connects to the CD changer port to give me an aux input. My stereo has a built-in single CD drive so this seemed like a good option. Installation was easy and now I get perfect sound quality from any auxiliary source by connecting to the headphone jack of the device and switching to the CD changer. I can finally get rid of the CDs cluttering up my car and listen to podcasts during my commute.