I don't know about US cars but in my parents' 1994 Mazda 626 I can just yank out the radio by it's handle, and there's a connector at the back which plugs into the car. In fact, my parents take it out all the time when they park, to prevent theft (as if somebody's gonna steal a 10 year old car stereo)
My brother's 10 year old CD player got stolen. The thing skipped when you went over a speed bump, and it didn't play CD-Rs. He thought it was funny that they stole the CD player ("The joke's on them, the fucker doesn't play half my CDs"), but he was pretty mad about all of his imported Prodigy CDs (among about 100 other miscellaneous CDs) being stolen. Once I get my Gamecube sold I'll have enough to buy a CD player. I'm looking at a cheap Pioneer.
The CDPlayer in my car is a BlauPunkt that my dad bought from his co-worker for $20. Plays CDRs, but not MP3 cds. I recommend you save up more and buy one that can play MP3s because I dont like to lug around 10CDRs and having to switch CDs while driving to listen to a favorite song. The cheapest MP3 CD Player for the car is $99 over at best buy. DOn't know if they ended that sale or not but it's a kenwood and it looked nice.