Has anybody ever installed a stereo system / radio / CD player / cassette player / MP3 player in a [DSM]?

Lots of people. Most stereo shops can handle this.

For do-it-yourselfers, Micheal Hamilton has provided the stereo wiring harness colors for a 1G DSM.
Here is an excellent PDF installation document (archived copy of installation document) for 1G DSMs, made available by The Install Doctor website.

2G owners use the service manual radio section. 

Tyler Gibbenhuck has this information to add (edited for presentation):

1. You don't need an installation kit, the new deck bolts in exactly like (either) of the 2 DIN decks did. If you mount the deck in the lower DIN you have a great place to install gauges, or a boost controller (turbo timer), or just a pocket for extra cd's.

2. Get the wiring harness adapter, it saves hours of headache.

3. When running your amp wires, pull off the door scuff panel (4 screws) and lift up the carpet, there's a nice big gap to run the wires in.

4. Pick up some extra pop fastners, you WILL break at least one.

5. Make sure you get someone to help you, although it can be done alone, the job is way easier with two people.

6. If you feel up to it, pull out the passenger seat, it makes life easier, plus you won't have to move it back and forth when you're adjusting things. [Editors note: removing each front seat is simply done by removing four bolts. The rear seat comes out without removing any bolts.]

7. It's not a very hard project, and took me just under 3 hours, save yourself the money, and install everything yourself.