Sound Choices:

After selecting your hardware, you need to figure out how to have it connect to your car radio. If you are using the current radio as the display, sound is already connected. For Plug and Plays, along with other add-on receivers, there are several ways to connect your Plug and Play to your car radio. They all vary in price, and ease of installing. There is no perfect method, as each has its own pros and cons:
Wireless FM transmitter First, there is the wireless FM transmitter available for all the Sirius Plug and Plays in car cradles that are designated as such, and for the Roady and Skyfi as an add-on accessory. This is the easiest method, but I do not recommend it for permanent installs. The sound will have some static in it, b/c it is sent from the radio as a weak FM signal. Over time this will become annoying, and may make you want to upgrade to a better sounding method.
Sirius FM hard-wired option If you have a Sirius Plug and Play, you can solve the static problem with the wireless FM transmitter easily for about $20. Audiovox makes a part, called the SIRSWB, that goes from your Sirius car cradle's FM out to your car radio's antenna input. When your Sirius unit is on, it will turn off the car's FM antenna, and send the signal static-free to the FM station you select. While it does not provide perfect sound, it still sounds much better than the wireless FM transmitter, and is cheaper and easier to install compared to the FM modulator(see below). To buy the SIRSWB, call Audiovox at 1-800-645-4994, and ask for Part#112c3159. It is rumored to be in retail stores soon, but until then, the only way to get it is through the part number.
FM Modulator The FM Modulator is a device that connects to your car radio through the FM antenna insert. Almost all FM radios work with this, and it provides okay sound for a regular speaker system. It connects to your satellite radio receiver via a regular headphone minijack, and connects to your FM radio via a wire that switches the regular FM antenna off/on. These devices will cost $40-$50 depending on the brand, and I would not recommend installing it if you do not know much about cars, which means you will need to spend more money having the shop installing it.
Cassette Adapter The cassette adapter is the easiest method of installation, but it only works on cars with a cassette player. These, if they do not come with the car kit for your XM/Sirius radio, can be purchased for about $10 online. They provide good quality sound, and they are easy to replace if they break. The downside is that eventually(years we are talking about), they can wear out the cassette player. Installation is very easily, and can be hidden behind the dash for a cleaner look.
AUX inputs AUX(Auxillary) inputs are the cheapest method(free!), they are easy to hook up, and you can get the best sound from your satellite radio receiver with these. They come with every car kit for XM/Sirius Plug and Plays. The downside is that most factory radios do not come with the inputs, along with most low-end aftermarket radios. If your car does have AUX inputs, you should definitely use them over any other solution.
CD player controls If your car does not come with AUX inputs, it may have a connector to add a multi-disc CD player. There are companies out there, such as Blitzsafe and P.I.E. that make adapters to connect your Sirius/XM receiver to the CD changer controls, but the cost is usually $60-$100. I would only recommend taking this path if you want the absolute best sound out of your radio, and have a premium speaker system that will give a noticable difference between this and a cassette adapter or FM modulator.