Once you are sure the plug is seating properly in your iPhone, then the trick is to adjust the volume on the iPhone correctly. If you use the dock connection, no such adjustment is needed.
Put the car volume at slightly higher than normal levels from another source, such as a CD. Turn the iPhone all the way down. As you increase the phone volume, you should begin to hear music but with some background hiss. Increase until the hiss stops but stop before you hit distortion. Make any further adjustments for different songs by using the car volume.
-dan