Hooking up directly to the antenna means means you bypass the FM channel, which usually causes too much static. Installing an FM modulator would cause it to bypass or cancell out the FM signal when on, and get a clearer reception through your antenna, conneced through a wire that is plugged through the antenna. That would be my second choice, as you wouldn't get CD/digital quality, but only very clear FM quality. As clear as FM reception can get.
First choice would be to connect directly, with cables to the face or the stereo front has an aux/line in where you can directly plug your mp3 device. The back of your stereo might have inputs that were there originally in case you wanted to add a CD changer/dvd player, etc. If you have that, you can plug in the RCA plugs that in turn will connect to your device.
I suggest you take it to Best Buy, Circuit City, or any stereo shop, for about $50 or less, and they can take it out, see if it has the inputs in the back, and intall something if possible. They can also tell you how the FM modulator option works. I got one on my 2007 car. Bought it at Circuit City for $49.99, had it installed at Best Buy for $39.99, along with my sirius satellite radio.
If not, and if your stereo is kind of cheap, you can replace it, and get a new one relatively cheap. The aux/input hole is kind of standard in most after market stereos.
Directly, mp3 player to face or aux/RCA cables in back of stereo is best option, as you get CD/digital sound, or as good as your mp3's files are. FM modulator a very good second choice.
FM wireless, total crap, unless you live in the country where there are not many local stations competing on the FM dial. I tried all of them, wireless gave me a headache every single time, it made my music sound AM quality.