It depends on the features of your car stereo. If your car has an audio in jack, this is your best option. You can get a male-to-male cable that looks like this (about $4-$6 online, I've paid as much as $10 at Radioshack when I needed one right away):
If it has a cassette player, you can get the kind of adapter alanHd suggested.
If you are in a highly populated urban area, an FM transmitter is almost useless. There are no open frequencies here in Chicago, I was only able to use an FM transmitter when I was way out of the city.
If your car stereo won't give you a good option, there are a lot of portable speakers that will work. I have tried out a lot of small speakers, and this one has the highest volume output:
http://www.amazon.com/BoomBotix-Port...ords=boombotix
Earbuds while driving are just a bad idea. You want to be able to hear emergency sirens.