even better (IMO) than using an FM transmitter is the ZuneCORE from Kicker/SoundGate.
I recently added one to my Mustang (hey, sometimes I want to listen to something other than the purr of the Pony's engine!) - it's great value and really easy to install
http://blog.offbeatmammal.com/post/2008/09/22/Zune-on-wheels.aspx
The folks from SoundGate also have adapters to fit a number of factory and aftermarket stereo systems and even support steering wheel controls...