The answer to this is manufacturer and model specific...HOWEVER, IF the car stereo has an audio-in, you can use a patch cable between shuffle audio-out a and the car stereo's aduio-in.
I am trying to connect it to a new Acura TL - there is an aux outlet that I am plugging a Belkin cable (from Apple store) into. The aux screen comes up when I put the plug in but cannot get any songs to play through the shuffle.