While not necessarily intuitive to use itertools.groupby for this, you can take advantage of how it works:
res = {}
for iskey, it in groupby(mylist, lambda s: s.endswith(':')):
if iskey:
for k in it:
key = k[:-1]
res[key] = []
else:
res[key].extend(it)
res
=> {u'Address': [u'Washington Street ', u'Chicago'], u'Name': [u'John', u'Doe']}