Mimic group_concat() combinado con GROUP BY

SELECT [Month] = DATENAME(MONTH, M), Sponsor, Client, c,
  [dates] = STUFF((SELECT ', ' + RTRIM(DATEPART(DAY, [date])) 
    FROM dbo.booking AS b
    WHERE b.Sponsor = x.Sponsor
      AND b.Client = x.Client
      AND b.[date] >= x.M AND b.[date] < DATEADD(MONTH, 1, x.M) 
    ORDER BY [date]
    FOR XML PATH('')), 1, 2, '')
FROM 
(
  SELECT 
      M = DATEADD(MONTH, DATEDIFF(MONTH, '19000101', [date]), '19000101'),
      Sponsor,
      Client,
      COUNT(booking_id) AS c
    FROM dbo.booking
    GROUP BY DATEADD(MONTH, DATEDIFF(MONTH, '19000101', [date]), '19000101'),
      Sponsor,
      Client
) AS x
ORDER BY M, Sponsor, Client;

Tenga en cuenta que si una combinación de patrocinador/cliente tiene dos reservas en el mismo día, el número de día aparecerá en la lista dos veces.

EDITAR Así es como probé:

DECLARE @booking TABLE
( 
  booking_id INT IDENTITY(1,1) PRIMARY KEY,
  [date] DATE,
  Sponsor VARCHAR(32),
  Client VARCHAR(32)
);

INSERT @booking([date], Sponsor, Client) VALUES
('20120312','AB','y'), ('20120315','AB','y'), ('20120318','AB','y'),
('20120316','FE','x'), ('20120319','FE','x'), ('20120321','FE','x'), ('20120320','FE','x'),
('20120404','AB','x'), ('20120408','AB','x');

SELECT [Month] = DATENAME(MONTH, M), Sponsor, Client, c,
  [dates] = STUFF((SELECT ', ' + RTRIM(DATEPART(DAY, [date])) 
    FROM @booking AS b
    WHERE b.Sponsor = x.Sponsor
      AND b.Client = x.Client
      AND b.[date] >= x.M AND b.[date] < DATEADD(MONTH, 1, x.M) 
    ORDER BY [date]
    FOR XML PATH('')), 1, 2, '')
FROM 
(
  SELECT 
      M = DATEADD(MONTH, DATEDIFF(MONTH, '19000101', [date]), '19000101'),
      Sponsor,
      Client,
      COUNT(booking_id) AS c
    FROM @booking
    GROUP BY DATEADD(MONTH, DATEDIFF(MONTH, '19000101', [date]), '19000101'), 
      Sponsor, 
      Client
) AS x
ORDER BY M, Sponsor, Client;

Resultados:

Month   Sponsor Client  c       dates
------- ------- ------- ------- --------------
March   AB      y       3       12, 15, 18
March   FE      x       4       16, 19, 20, 21
April   AB      x       2       4, 8