Although it's been talked about at XDA, creating a GrooveShark client for Windows Phone has so far eluded most of the developers there. But it looks like Devalane has managed to pull it off, releasing a free app for the music-streaming site. (For those who remember, we had the pretty awesome GrooveFish & NanoGroove for Windows Mobile.)
MusicShark, just released in the Marketplace, allows you to search for any artist and basically stream whatever is available on GrooveShark's site--which is quite extensive. Interestingly, outside of the app's logo and name, it makes no mention of accessing GrooveShark's music library (perhaps for legal reasons). But if you do a search on both, you'll see they match exactly in content. In addition to streaming, you can add songs to the queue and create a playlist. Unfortunately as of now, you can't login to your GrooveShark account, but for creating and streaming playlists, it seems to work well enough.
For being v1.0, free and the first of its kind, we're not complaining. Grab it here in the Marketplace.