I just modified my set up here recently by adding the FM modulator instead of the dreaded iTrip that I was using.
I got the FM mod from cardomain.com (there is a howto in the howto sec tion of the forum, tells all the parts needed and whatnot), and all the parts for less than 35 bucks.
I have the stock HU and install was very easy!
After that I purchased a Belkin Auto kit from BestBuy and now I am very happy with my set up. This is the closest (for cheap that is) you can get to the setups that you can get in the newer BMWS that you see.
Here is a pic of what I did:
This is where I put the on/off switch for the mod: