I just went through the same install in my 2003 Yukon with Bose and no On-Star. Having all of those wires was a little overwhelming especially when you don't actually use them all! I looked on Crutchfield to figure out the parts I needed, then ordered everything on Amazon. The hardest part for me was I actually had to read the instructions for the steering wheel control harness. Out of all those wires it was just three that got connected, red, black and pink (for my model). Setup for the steering wheel controls was straightforward too, after reading the instructions and pushing the right buttons (volume up repeatedly, at the right time). I also added a backup camera to mine. I installed a Kenwood DDX470, Axxess GMOS 04 harness, Metra ASWC-1 steering wheel control, Metra 40-GM10 antenna adapter and a cheap backup camera. Our local shop wanted $125 to install it if I brought in my own stuff but I managed on my own with a few hours of time. Also, even though the Yukon has a big dash that is a lot of stuff to cram behind there. I had to cut out a little piece of plastic in front of the metal support bar to make the radio go back far enough.
Edit: I also put in the SiriusXM sxv200 that I got at Best Buy.