You could also put a dock into your car and do some hard wiring in order to be able to play your zune through that. Another member of the forums did that.
This is an example of what you would use, your car stereo head unit needs a standard headphone input, and this cable connects your zune to it so that you can play your zune's music through your car speakers.
It's the easiest way to play your zune's music in your car.. although i suggest getting a car charger for your zune also so that it doesn't run out of battery: http://cgi.ebay.com/AV-CABLE-CAR-WAL...1|293:1|294:50