Where you want it to. The adapter I used comes it two parts. The first part plugs into the RCU, replacing the CD changer harness. It has an RCA input, and it basically emulates a CD changer with 1 disc and an infinite track. Then I ran an RCA cable from there to up under the dash. The iPod adapter itself tap into the lighter socked wires for power, and is located in the dash. It has two cords coming out of it, one is a 1/8" headphone cable, the other is an iPod connector. I ran them both to an iPhone hold that is made for my car. It hold my phone, connects it to my stereo, and charges it. I've used the headphone jack to connect to other devices before.
So even if you don't have an iPod, you could use a portable CD player instead. How nice this all looks depends on where you run your wires. Its not hard to do yourself, prbably easier than relocating the factory CD changer. Since the first part of the adapter is just an AUX input adapter, you can use it with anything that has RCA outputs.
You need this
PIE search, pie search engine, pie search by car
and one of the accessories that works with it listed at the bottom of the page. They have iPod adapters, and other RCA adapters, depending on what you want to do.
I would much rather do that than mess with moving the CD changer.
If you were to get an iPod, there are higher end adapters that let you control the iPod device through the head unit.