I prefer hard wired to the radio coax antenna, but FM would be fine (as long as it sounds decent(ish).
KEN IS THE MAN OF THE DAY!!
There is a direct connect alternative but it's not simple to find and it's not cheap. The vast majority of the FM direct adapters out there are XM radio specific and won't work with anything else. However, there are some alternatives.
If you contact the good folks at Crutchfield (
www.crutchfield.com or
www.crutchfield.ca) they will be happy to help you find the best solution for your individual situation. The prices will range from around $60 to $180, depending upon the most appropriate solution for your particular situation.
Here's an example of the max. solution for my Honda CR-V. (I don't need one because I've got an AUX input but it's the easiest example.) Although it's specifically to connect an iPod, it also has an AUX input for connection from MP3 players or whatever.
USA Spec iPod Interface Honda
Here's a min. priced solution that's more generic but might have problems with some vehicle antenna systems.
Scosche FMMOD02 FM Modulator w/RCA Inputs, On/Off Switch
Or for an in between price you could just replace your radio with one of theirs with front panel AUX input, starting at around $100. (If I did this right, the list should be for your 2002 YukonXL.)
Car Stereos & Car Components at Crutchfield.ca
At the higher end of their car stereo systems you can even get radios that have a USB connector on the front so you can just jack your USB flash drive straight into it and play your tunes directly from the USB drive.
These examples above are all from the Canadian site. As usual, there are even more choices available on the American site.
For those who want to phone and get help from a real human being for their specific make/model/year of vehicle Crutchfield has toll-free numbers. For Canadian customers it's 1-800-297-9469 (9am-10pm M-F, 10am-7pm Sat). For American customers it's 1-800-319-8264 (8am-midnite, 7days). Times are Eastern time zone (their call centre is in Virginia).
If this sounds a little like a commercial, it sort of is and no apology. After doing a fair bit of research and getting very frustrated coming up with nothing but XM radio solutions I phoned them and got some really useful information. This post is a tiny bit of payback for their patience and willingness to help out, even though I made it clear I was researching for others and not interested in buying anything myself.
Disclaimer: Neither I nor Laptop GPS World has any affiliation of any sort with Crutchfield. My contact with them was limited to one call to each of their American and Canadian toll-free lines and speaking with the person who answered the phone in each case. These are the same folks you will talk to if you call.
...ken...