You can buy cheap FM transmitters for your iPhone from pretty much anywhere, but if you'd rather make your own little transmitter, Make shows you how to do it.
The basic idea here is that you can build a small FM transmitter for your MP3 player so you can send audio to pretty much any stereo. To do so, you'll just need a few off the shelf parts and a spare afternoon. Once you're done, you'll be able to amplify your transmitter so it can send your audio a little further, just make sure you don't accidentally break any laws when you do it. Sure, you can purchase one of these easily enough, but it's a solid project for helping you learn how they work so you can apply it elsewhere.
Super Simple FM Transmitter [Make]