Well now you just about can. This is not released by Spotify, but rather a budding developer over at xda-developers.
The application will allow you to stream audio using the Spotify service, directly on your handset, using your favourite media player (that supports OGG).
> The .NET 2.0 Compact Framework (which should come with Windows Mobile 6.0 and above as standard)
> A Premium Spotify Account (register at http://www.spotify.com)
> A media player that supports the ogg audio format (eg. CorePlayer)
Remember if streaming over a data connection (GPRS, Edge, 3G), then bear in mind this app will use ALOT of data, so an unlimited data plan is recommended.
Head on over to xda-developers to download the latest release.