I’ve discovered an interesting thing about some applications on iPhone that don’t seem to directly support AirPlay such as Spotify: if you chose an AirPlay-capable destination (such as an Apple Airport Express or an Apple TV) in another application that does directly support it (such as the Music/iPod player app) then go back to the application that doesn’t, the audio will be streamed to the device you chose in the other application. This works for lots of things, even games.
I’m not quite sure why this is required. The application that doesn’t “support” AirPlay is clearly using the standard iOS audio features otherwise this wouldn’t be possible. On the other hand the AirPlay control that would normally pop up isn’t available for use. It seems this is the case for any app (again like Spotify) that is using custom graphics for the standard audio playback controls.