Way old thread, but since I received a Nano for Christmas I decided to look into it a bit.
Looks like the "GROM iPod V2 Adapter Interface BMW Mini Rover #BMWI2" allows volume/forward/reverse control over the iPod from the steering wheel adapter. It replaces the CD changer (freeing up room for a HAM radio install!)
The link will probably be dead, but if you search Google with the name/description above you should find a fresh ebay sale relatively easily.