I'm looking to buy an mp3 player and also a car stereo, but I'd like to play the mp3's directly through my sound system--meaning I don't want to use a wireless transmitter or a cassette tape, as I'm familiar with the kind of sound quality you get from those. I'd like to plug my mp3 player directly into the stereo, so the sound quality remains intact as much as possible.
But I'm not clear on whether it's even feasible to play mp3's without first burning them to an audio or data disk. A salesman at Best Buy told me I would just need to buy a stereo with that capability, and use an aux input on the face, but does that mean any mp3 player would be compatible? I'm looking at flash mp3 players, as opposed to one of the mini-hard drives, and also I'm running XP.
Any thoughts or suggestions would be greatly appreciated.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic