You need RCA connecters, various wire, and a DB9 serial connecter.

Something no one's pointed out yet:

You don't actually need all of those parts unless you intend to actually use every single connection. For instance, if you don't plan to use the serial connector in the car, you don't need to hook one up. And you don't need all six RCA connectors unless you intend to use all the front, rear, and aux connections. A totally bare bones install might only need a few wires and two RCA plugs.