Why should you take it on the go? Well, because when you run it you have access to millions of songs included in GrooveShark catalog without even opening the web browser.
You only need to double-click the executable file and enjoy.
The main difference between this application and the webapp is that when using the application you can minimize the window and control music from desktop.
By that way, you'll be able to use common controls like play / pause / fwd / prev directly from system task bar.
Of course, you'll have to create your playlists.
If you like listening to music, GrooveShark is one of those applications you should have in your USB Memory.