Assuming you are hooking it into a car, you need to connect it to your radio via an aux port. If your radio doesn't have aux input, you will need to buy a new radio.
I just had my new radio with aux input installed yesterday and all I can say is that FINALLY after years of using an FM transmitter, the audio from satellite radio is very good.
$220 Sony Xplod car stereo with aux input, usb input, blue tooth for wireless connection of cell phone through stereo and music streaming
$10 for GM antenna adapter
$60 for GM interface to keep your warning sounds e.g. low fuel, key still in ignition
$15 for radio housing
$75 for XM Skydock for your iPod Touch or iPhone
$55 for installation at Best Buy if you can't do it yourself
If you don't plan on buying a new car any time soon, absolutely worth upgrading, especially for the hands free phone.