That totally depends on what you are putting in as a replacement for the Renault radio.
Personally, I wouldn't change it, I like the clean looks from the factory radio in the dash, although I've upgraded my factory radio to an older but more powerfull model from the previous model Laguna
What I did do is upgrade the factory speakers to Pioneers (as have a lot of forum users), as the factory speakers realy suck

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That's the easiest way of upgrading your sound

Megane II 5D-Hatch 2003 * 2.0 16V Autom. Dynamique * Gris Boreal
17" Steppe * Leather * RS front grilles
Xenon + 5LED side lights * Clear side indicators * Ph. 2 rear lights
Cabasse Tunerlist * Pioneer TS-Q131C/TS-E1396 * Ice>Link Plus + iPod