It seems we have two discussions mixe up here. One is getting a Dock Connection to Aux Input (3.5 mm stereo headphone connector), and the other is a Dock Connection to RCA, which are obviously two completely different challenges.
The first is to be able to get your car audio input, like a BMW input, to play from the Dock Connection instead of the Headphone Output Connection. Why would you want to do this? Because if you go through the Headphone Output, you have two downsides. The first and annoying issue is that the Volume Control of the iPod is a factor, and if you have the iPod turned up too loud it can distort the sound, and if it's too low, you have to turn the car stereo volume up way too high and if you switch to CD or AM/FM, it'll blast your speakers. By using the Dock Connection, the ONLY volume level is from the Car Stereo, which is super-convenient. I currently use a Dock Connection to Cassette Deck adapter, and this works awesome.
The more important reason to use the Dock Connection, however, is that when you turn the car off, if you're plugged in using the Dock Connection, it senses that there is no draw on the iPod and it pauses play. After a few minutes, it automatically shuts the iPod off, conserving battery power. If you're using the Headphone Output on the iPod, it does NOT automatically pause (unless you disconnect the cord from the iPod), and it will continue to run until the Playlist (or Album or Song list) ends, and if you have it set to Repeat, it will never shut off until the battery dies. To me, this is a critical reason to connect through the docking station.
My girlfriend's BMW has the Aux Input in the console between the seats, and I've been looking for a way to charge the iPod while using the Dock Connection, and I have yet to find a single device that does this. Shasta's post, however, solves the issue, although I don't think Shasta provided a good second link. Shasta's first link:
http://www.sendstation.com/us/products/pocketdock/lineout-usb.html
Is the key to the whole thing. It's a tiny device that hooks into the Dock Connection and has an output for a 3.5 mm stereo jack (just like the output that for the headphones on the top), but it will sense when the car is turned off, shutting down the iPod (sweet!) Shasta's second link, however, is to a cigarette lighter adapter to a standard USB 2.0 connector, but the PocketDock uses the less popular, more boxy looking USB connection. The end is called a USB B (as opposed to the flatter, more prevalent USB A end). I'm sure there are adapters out there that will convert A to B or there might be Car Chargers that use the USB B end type, but that's what you need to plug into the PocketDock.
By the way, the other solution that Mammouth found will work for those that are looking to use RCA jacks instead of the Aux In found in the BMWs and the like, but that is a different problem to solve.
Cheers,
Sean