I've been looking for an app that does this for me as well, mainly for gaming content. There are quite a few out there that seem to be able to stream live video content, like the RedBullTV app and I believe there's a Youtube Live app as well, so with my limited developing-knowledge, I don't see why it wouldn't be possible.
FlashVideo For WP7 has recently added support for several "Live Video" sites, mostly sports at the moment though. Not sure if this specific update has hit marketplace yet, but the changelog are up on his site. Can't link a source due to low post-count, but it can be found if you look up the app in the marketplace.
I've been briefly corresponding with the developer as well, asking if he would add support for justin/twitch.tv and own3d.tv, and I believe he would seriously look into it, but it seemed to something that would be added in the future because the sites "have many protections", in his own words.