There is actually a company called Tunaverse (http://tunaverse.com) that is doing/working on this. You can stream any of your media files from your home computer to your phone or any other device with an internet connection.

I have no connection to this company other than I met one of the founders a year ago and he was telling me what they were working on. I haven't talked to him since and don't know how far along they have come, but their website is still up (just checked) and looks like they have the client running for Windows Mobile devices at this point.