This is something I've ALWAYS wanted ever since I saw that my aunt's Motorola Q did this. My Treo 700wx couldn't do this nor transfer Caller ID information to my headset. Now that I have the 800w I was expecting this and at least got the Caller ID information through the headset but no option to get media through the headset. HOWEVER I was just playing around with Sprint TV watching CNN and I was wondering what would happen if I pressed on my headset's connect button. To my surprise I started getting the sound through my headset! This goes away after Voice Command times out though and the sound goes back to the phone's speaker.
I seem to remember there was some program around here that would keep this connection active. I think it was this one:
http://forum.ppcgeeks.com/showthread.php?t=1401
Anyone have any ideas?