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So I own a Renault Megane ( yes, I know, sorry!). The CD player has started cooking cd's. So time for a new one I think.
It's got volume control etc on steering wheel stalk. Question is, will any replacement stereos work with this, or do I need a "special" one?
You can get stalk and display adaptors - http://www.caraudiodirect.co.uk/install-adaptors?cat=29
Usually need one side for the car, and one side for the radio you're buying (different manufacturers use different plugs).
Not that cheap, but certainly possible.
As above, you should be able to get a cable to connect the stereo to the controls on the wheel. Just make sure you get the right one. FWIW I noticed a huge difference in how the speakers in my van sounded when I replaced the stock 10 year old head unit with a Pioneer mp3 job. Amazing the upgrade in quality.
Some after market head units have adaptors that will allow remote control using the cars built in controls.
Kenwood (IIRC) have pretty good coverage in this regard - but you'll need to add the control module separately. They're not generally included in the purchase price or in the box.