Just a couple days ago I realized that I had an AUX option....now if only I could find where the plug is?
if you have an 06, check out the internets - maybe even on this site...
A quick look found this on the sister site, go to the last post:
Haven't done anything myself (having an '06), but I consistently wish I had one.
Like the peanut gallery says, if you have anything later than '06, it's in your glovebox.