If you have a Pioneer or Premier CD/MP3/Radio in your car and you don't have an auxiliary input already, it's really not too difficult to add it, provided you have a compatible head unit. Models starting with a "P" after the dash such as the Pioneer DEH-P2900 are compatible. The aux input connects through the blue IP-Bus connector on the back of the unit. Pioneer sells an adapter that comes in the form of a little metal converter box but you can get just a cable adapter for much cheaper. I've done this in 2 cars now for about $10 each total and it has worked perfectly each time.

You will need the Pioneer removal tools, aux adapter and 6 foot male 1/8" to male RCA adapter cable.

The removal tools are just bent pieces of metal that come with every Pioneer/Premier head unit. If you lost or never had yours, you can usually pull up behind a Best Buy or other car audio installation shop and have them remove your head unit for you. If that is the case, make sure to test that everything is working correctly before sliding the deck back in.

This works the same for both the cable aux adapter and the official Pioneer one in the metal box. I've read that there is no audio quality difference between the two and it is a significant price difference so I've always used the cable adapter. I recommend looking on sites like ebay for it. I usually pay about $6.

The 1/8" to male RCA cable can be done in a variety of ways but I recommend finding one that isn't too thick. Best Buy, Radio Shack and all types of other places will carry these. You can also use a shorter one if that will work for your car but I like to have a little extra just in case.

Pioneer removal tool and aux adapters

This is an older Pioneer CD player installed in a 2000 Pontiac Grand Am.
Pioneer Head Unit

The bezel is the gray piece of plastic surrounding the head unit. It is just clipped on and comes off with a little bit of work. There are small holes on the top and bottom that you can pull up on with a tool to get it off. Be careful not to break it, it's very thin.
Removing the Bezel

After the bezel is off, you must insert one removal tool into the hole at each side of the head. Slide the tools in until they don't go any more. It doesn't require much force and will look like this when fully inserted.
Pioneer removal tools fully inserted

Pull back out on the removal tools and the head unit should slide out with them.
Pioneer Head Unit sliding out

Pioneer Head Unit removed

The blue connector is where the aux cable will go.
Back of head unit

The adapter should go on with minimal effort. Make sure to get the orientation correct, although it won't let you put it on any other way.
Back of head unit with the adapter installed

We ran the RCA cable down from the car stereo hole and out the back behind the console. Make sure to have the RCA side up by the head unit and the 1/8" side down at the other end. For many cars this requires some fishing and can be very frustrating. Try getting a straightened out clothes hanger through first and pull the cable back up and through. Be careful not to cut, break or disconnect any existing wiring.
RCA cable ran from the passenger side

The 1/8" side of the cable comes out behind the console on the passenger side. I ended up running it under the plastic so that it would come up between the passenger seat and the center console.
1/8" connector on the floor

Simply connect the red to red and black to black or white.
Pioneer aux cables connected

Tuck the cables in behind the head unit and make sure everything is secure. If you are having problems getting it to slide in, check underneath and make sure there aren't any wires coming out from there.
Cables tucked in behind head unit

Slide the head unit back in until it clicks. If you have problems getting it to slide in, slide it back out and check for clearance or cabling issues behind.
Reinserting head unit

For most Pioneer/Premier head units, you need to turn the unit off. Once the unit is off, you can hold the function button to get to the general settings menu. This menu usually has clock, dimmer, language and other controls. Navigate through the different setting until you get to the one about aux inputs. Some units have 2 aux inputs and will require that Aux 2 is enabled. This particular unit just has the one. Setting aux to "ON" enabled the input. After turning the unit back on and pressing the source button, the unit said "Aux" and was playing the music from the input.
Pioneer - Turning the aux function on

Success! Music playing from a T-Mobile G1 through the head unit via the aux input.
Playing music through the aux input