Hearing the scanner/ham audio through your car speakers is the best IMO; unfortunately for most people this means losing the ability to listen to music at the same time.
In my case, I built and installed a 'carputer' that feeds audio directly to a 4-channel amplifier (+ a mono subwoofer amplifier). The touchscreen VGA monitor in the dash is my audio/video interface and the computer itself (mounted under the rear seat) acts as an audio mixer so I can listen to AM/FM/HD/MP3 as well as hear the scanner (996XT) all through the door speakers. I realize this type of setup is overkill (as well as being complex and expensive) for most people.
That being said, if you don't mind losing the ability to listen to music while 'scanning' then an FM modulator can be a good option. I would recommend the 'wired' type that plugs inline with the car stereo's antenna input. This type is less prone to interference from nearby high power transmitters than the more common wireless FM modulators.
