It's a sad truth: Few car stereos have line-in jacks for connecting your iPod, Zune, or other media player. You can use a cassette adapter if your car's old enough to have a tape deck, but otherwise you're limited to two options: a pricey aftermarket kit or an FM transmitter. The latter plugs into any MP3 player's headphone jack and "broadcasts" your tunes to an unused frequency on your car stereo. Sound good? Buy.com has an FM transmitter on sale for just 10 bucks shipped.
The Sonic Impact 5026 runs on a pair of triple-A batteries. An analog switch on the side lets you choose one of four frequencies (not specified in the product description), which is fairly limiting if you live in a big city or suburb: You may find that all four of them are already "in use." Indeed, that's the caveat with transmitters like these: Static or another broadcast almost inevitably bleeds through, making the listening experience rather disappointing.
In fact, in my experience, FM transmitters generally suck. So why the plug? Well, if you live in the radio-challenged boonies, you should have better luck. And even if you live in a metropolis, your mileage may vary. Consider it a 10-dollar experiment.