I bought a zune yesterday. I wasn't too happy with the fm transmitter to get the tunes over the car's stereo. There doesn't seem to be much out there to plug into the older bmw's stock pioneer head unit's cd changer interface.
In the changer data cable, there are 2 grey bundles, 1 blue bundle, & 1 red wire. Ya want to get into the thinner grey bundle that houses the shielded red & white wires. I disconnected these wires from the cd changer, happy to never source cd music from the changer again. I can switch it in later, but I don't see that happening. I chopped the blue bundle as they control the head unit's control of the cd changer. With the blue bundled wires attached, the head unit insisted on having a cd in the changer playing. With them chopped, the head unit accepts the Zune's signal without worrying about having a disc in play.
This thing sounds great. The Zune's radio sounds better than the stock radio. I hope this helps out others looking to hook up a media player on the cheap.
Thanks for not giving me any grief about not getting an ipod; there is some affiliation.