2006 A4 and satellite radio

So the question is this - They come "satellite ready." Does this mean that I HAVE TO buy the Sirius unit from the dealer in order for it to
work thru the factory head unit? Or can I buy it from a Circuit City/Best Buy and have them install it?
In other words, to run it through the factory head unit, am I stuck paying way too much to the dealer, or do I have options?
Thanks in advance.
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