Here's a pretty good description of the ways to connect another audio source to a car stereo, although the first applies only to satellite radio.
From:
Crutchfield: LCD TV, Car Stereo, Home Theater, Speakers, Plasma TV
There are several ways to get the sound to play through your car stereo:
•Wireless FM transmitter. Many Dock & Play radios feature a built-in wireless FM transmitter, which "broadcasts" the signal over an FM frequency that's unused in your area. The advantage: convenience — you won't have to connect the satellite radio directly to your in-dash stereo. The quality is pretty good, too (as good as standard FM). The downside: interference from FM signals can sometimes creep in, and you'll often have to switch frequencies if you're driving long distances.
•Auxiliary input. If your in-dash stereo has an auxiliary input, you can plug the satellite radio directly into it. You just need to run a patch cable from the satellite radio's cradle to the stereo's input. Because it's a direct connection, this will give you the best sound quality. Not all stereos have auxiliary inputs built in; some require auxiliary input adapters.
•Wired FM modulator. Some Dock & Play radios let you use a wired FM modulator to get the sound to your stereo. Like a wireless transmitter, a wired modulator "broadcasts" the signal over an unused frequency. You plug the modulator directly into your stereo's antenna input, then plug the stereo's antenna into the modulator so you won't lose AM/FM capability. Because it's a direct connection, it's less susceptible to outide interference (although, you may still have to change frequencies on long drives).
•Cassette adapter. If your stereo plays cassettes, you can connect your satellite radio directly to it (via the radio's cradle) with a cassette adapter. It's a convenient, easy connection to make.