At a minimum you will need the Am/Fm antenna adaptor. I believe it is part number 7L6-051-551.
At that point the radio will work.
If you want Sirius radio to work, you will have to either add an antenna for it (if your vehicle did not have Sirius pre-installed, or buy a Sirius antenna extension cable to hook the radio up to the factory antenna.
Not too hard, really.
Depending on how complete you want it to work.
If you don't want to pay for satellite radio then all you need is the adaptor I mentioned.
If you have an AUX port and you want it to work, you do have to swap two wires in the smaller plug. But with the 6 disc changer built in and SD card port, most people dont use the aux port anymore.
And if you want the Sirius radio to work, then you do need to run an antenna cable.
Other than that, it is a breeze to install.
Finally, from Myturbodiesel.com
The only possible problem is that 2005.5-2007 may have problems with the battery draining if you swap a 2010+ radio in. This is caused by the module not going to sleep correctly. The solution is to swap in a newer CAN BUS gateway. It does not affect all early cars so if your battery drains after you swap the radio you know why. I left my 2006 alone for four days and it was fine with an early F version gateway. Others with 2006 have also been fine so test your car before blindly replacing the gateway but budget to replace it. It's unknown why not all cars are affected. When you get in/out of the car you can hear the RCD510 changing CDs by itself - my best guess is that it's something the CD changer does when coming out of or going into sleep mode.