As mentioned a RF transmitter is the easiest, but they are horrible, I've even had the inline type pick up other radio stations, and even the kid in the car next to me's Ipod if his wireless RF transmitter was strong enough (that happened ALL the time when I was in school in Raleigh, even with my $75 inline setup that was supposed to prevent this)
I ripped it out and soldered in a headphone jack to the board of my stock radio, it was actually easier than it sounds, took about an hour, and cost less than $3 for the parts from radioshack. I have done that on the 95-02 style radios and the 03-06 style radios. You simply tap into the signal coming from the cassette or CD to the amplifier in the radio. When something is plugged in it cuts the signal and goes to the aux input, when you unplug it normal cassette/CD audio flows through. You just keep a CD/cassette in there to "trick" it into thinking it is working normally. If your Yukon is a 00-02 with the cassette player in the console it is even easier, no soldering, just tap into the wires leading from the cassette player to the radio. (this is the same connection the $100 aftermarket adapter units use)
I have also installed a few of those PAC adapters for others that do the same thing as I did, except plug and go, and they work great, but if you have any wiring knowledge you can do the same for much less.