SharkMote can now stream to the Android device and use an external player (like RockPlayer). Just install an external player and SharkMote will prompt you wich player to use.
All players can't cope with streaming direct off the server to solve this SharkMote has support for "Download Streaming" which streams via the SDCard (it still streams you don't need to download the whole file).
This works in bothe the free version and the paid version. The diffrence is that the free version contains some pop-ups and the fact that you can't save your favourite player (which you can in the paid version so you won't be prompted for that).
I recommend to use RockPlayer (can do some direct streaming) and VitalPlayer (can cope with Download Streaming nicely).