The key is to get one that you can power through the cigarette lighter. The battery powered ones usually don't put out a powerful enough signal.
You could also go the very simple and cheap way of using a tape adapter (if your car still has a tape player). The sound quality is supposed to be excellent, and tape adaptors are quite cheap. Someone else asked about ways to hook their axim up to the car stereo, and here are some of my
suggestions.