Hey Jamie - good question!
I'm still making updates to my app on WP7/8 to get the new functionality in, but this is a question I've taken several approaches to since I wrote the first version of my Tumblr client.
The main drawback for Windows Phones is that although MS give you access to a web view control, the limitations of that control are extensive - especially how difficult it is to accurately size when you have a lot of variable height items, like someones dashboard - meaning that it's just not a feasible option.
Early on (the first two major version I released) I worked with building a XAML framework from the HTML structure. I had the same concept you did. The issue there was variety - my app isn't anywhere near my day job, so creating a framework that accounts for all the different variations within the HTML structures you can get on any average request to your dash? I spent all my time fixing the big issues with the post format rather than on the functionality that actually got my users to use the app in the first place. And that's ignoring the performance impact of creating that sort of content on the fly.
I did play with markdown, my app posts are still markdown compatible when they're created for ease of formatting. But you end up falling back to HTML for those posts they create on the website directly, so you're back to square one.
So for rendering a list of posts, I use the text filter on the post requests. I rely on blog/reblog and type-specific templates to give each post type its own layout. But the captions and text content are just plain text. It's fast and easy to manage - quick to render in large quantities - and my menus give the user access to the actual post using its permalink, so if someone wants the rich text it's only a click away.
As an alternative view, for the Win8 version of the app I was able to use HTML/CSS as the whole app uses browser tech, and I actually I had to work harder to get the posts looking right when I could render the full html. I was surprised how much I didn't lose by saving myself that hurt.
I'd be interested in other opinions, I know there are other .NET developers on this group, but I'm unsure if any of the other Windows Phone clients are represented. The issues I had weren't so much to do with the content itself, more the hurdles I hit on the platform I was using, so I hope you get a range of feedback.
Let us know how you get on.
Steven