My car does not have an auxiliary input on the radio. For those who don't know, it's (usually) a mini plug built into the radio that allows you to connect and play portable media devices. The sound comes from the headphone jack so you double amplify the signal. I have friends with these inputs and they actually do a pretty good job.
Because of my lack of input I have been using FM transmitters. These get the job done but they take on a lot of interference. You also have to find a relatively clear frequency and if traveling any distance this can become nearly impossible. They're considerably worse than cassette adapters.
In exchange for resurrecting a computer, someone recently bought me a module that plugs into the back of my radio giving it an auxiliary input. It makes the radio think it has an add-on CD changer. Along with this input module you can also get iPod and Zune modules that allow you to charge, play and, to some degree, control the device through the dock connector. (I installed it on Sunday)
Using the dock connector gives you the additional benefit of a line-level signal. For those uninitiated in audio signals a line-level signal is unamplified. This means that the only amplification of the signal is coming from the radio head unit which should be the only place the signal is amplified - right before it goes out to the speakers.
As I said, I have heard what a headphone-out auxiliary input sounds like. It does a really good job. What I didn't realize was how much of a difference a line-level signal would make. My Zune HD sounds FANTASTIC! I want to drive somewhere just so I can listen to it.
(BTW - 5 more posts to post 1000!)