I use this, with my Zune 30:
DealExtreme: $7.50 Full Range FM Transmitter with Digital Thermometer and USB Power Port
Granted, it's not perfect. On a long trip, I had to re-configure it a few times once the stations changed. However, you can do this while driving with little effort. The SQ is acceptable to me, but it can drop or get distorted at times. I felt it was a low cost solution to my problem, plus I can use it with my other DAPs.
Keep in mind that this ships from Hong Kong, so the wait time will be several weeks at least.