Usually i have to switch from grooveshark to musicbee all the time. i discover music on GS, download them and then listen on MB. if they were integrated it would make the whole thing easier since musicbee is better for music management. and a desktop client is better than a web app. I know softwares like groovewalrus does that.
Last fm is great for discovering music but we cannot create playlists. that's a big drawback.
also, if there could be any way to enable downloading it'll add as a bonus. softwares like SciLor GS downloader, groovedown and grooveshredder (firefox addon) can download music using GS's database. but i'm not sure about how licenses issues work.
but even without download option, simply streaming from GS and creating playlists would be great.
BTW GS's radio feature is almost as good as any other (except maybe last.fm). it is much improved from what it used to be.