You can spend $3000 and replace your HU, but your not going to get the $3k out of that new stereo unless you also upgrade the speakers. Those factory paper cone speakers are worthless after 12 years.
Get new speakers to go with it.
That looks like a universal GM dash kit. I had one like it, worked pretty good.
Yes, you need that antenna connector if you wish to listen to FM radio.
Try Crutchfield, I quoted them last month on my 2000 Blazer with a new HU, dash kit, speakers, wiring mounts an all for about 250.