Obligatory one-liner:

perl -F: -lane "$F[0] eq  q|T| and $team=$F[1]; $F[0] eq q|P| and $h{$
+team}{$F[1]}++}{for my $t(sort keys %h){print $t, qq|\t\[|, join( qq|
+, |, sort keys %{$h{$t}}),qq|\]|}" Your-Data.txt
MARINERS        [GRIFFEY, PEREZ]
PHILLIES        [ROSE]
REDS    [BENCH, GRIFFEY, PEREZ, ROSE]
[download]

Substitute single quotes for double, if running on Linux.