I did the ash tray conversion from this forum for my ipod dock on my Audi A3 - works and looks great:
http://www.audiforums.com/m_347910/mpage_1/key_/tm.htm
I was able to plug the Pioneer XM tuner into the stock factory antenna on my 2007 Audi A3 with no problems. I did have to shave 1-2 plastic ribs off of the connection though. Worth it to not have to put the extra antenna on the roof (stealth install).
slimcubby, do you know whether best buy hooked up a vss wire (without a CANBUS to VSS adapter of some sort)? I've had trouble finding out whether an accessible VSS wire exists for my 2007 Audi A3.