I've just bought an FM transmitter from the web. Problems I found were that, as stated above, it is illegal to use an FM transmitter in the UK without a government license - yeah right
I went for a Belkin Tunecast II due to it's ability to use all of the FM broadcast range and not just a few spot frequencies that most, if not all, of the cheaper models go for.
I found that it is possible to order from a UK company the Tunecast II, but at a cost of approx £35 + pp. I also found that all of the companies I comtacted were out of stock!
Consequently I used e-bay to order, from the US, the model I wanted. The total cost for this was £24.00 and took 8 days to arrive. Absolutly no problems with the ordering or delivery process. If interested, a search on UK e-bay for "Belkin TuneCast FM Transmitter creative 5gb micro 30gb" will throw-up the dealer I used.
The one I got for my creative player has a standard jack connector which plugs into the headphone socket and a 12v DC car adaptor which powers the FM transmitter. Ensure that you get the correct model as I believe there is one for the I-Pod which has a special combined power/audio lead. Don't quote me, but I believe the I-pod Belkin transmitter is white whilst other models are grey.
Just be aware that you will not get CD quality sound from your compressed MP3's transmitted to your radio - quality appears to be on a par with mono FM radio broadcast.