Aren't CDs history? Save your energy and buy an iPod.
I have a $299 iPod (20 Gb hard drive = about 4,000 mp3 format songs) + a $39.99 iTrip FM transmitter that slots into the top of the iPod. It sits neatly in the tray between the seats. I have the OEM radio/cassette/trunk 6 CD changer, and this arrangement works like a charm. You can easily set the FM frequency to any of a heap of choices, but i'm too lazy to mess with it, so if there's some local interference on the default setting of 87.9 I just pause the song and turn off the radio for a few minutes. I admit my ears aren't quite as good as they used to be. I find the BMW sound system to be quite satisfactory (I did try my son's boom box/booster amp in the trunk but it was causing the battery to drain for some reason). You might need to throttle back the volume on the iPod and boost your radio volume, otherwise you tend to get some distortion. And if you visit mp3search.ru you can download stuff for 10 cents a song (if you feel Limewire or whatever for nothing is a bit illegal). I've been progressively moving all my most favorite CDs over to mp3, and next month I'll be making moves on my olde vinyls. I take the iPod to the office and plug it into my computer speakers (and simultaneously charge the battery through the computer); when i get home, it can play through the stereo receiver -- no wuckin forries! :D