Read this how to in this month's WIRED Magazine about how to wire your car's stereo so it would play your MP3 player. The Panasonic stereo I've got didn't come with an AUX port. But it did have "IN" connections for a CD changer. Only had to take the dash partially apart. I've done this a few times now, so it is just a matter of popping two fasteners and removing a small screw and it is open.
But using the input for the CD Changer didn't work, so I'm stickin' with the FM transmitter I guess. Until (if) I upgrade the stereo in the Saturn Express.