.ToLookup<TSource, TKey> returns an ILookup<TKey, TSource>. ILookup<TKey, TSource> also implements interface IEnumerable<IGrouping<TKey, TSource>>.
.GroupBy<TSource, TKey> returns an IEnumerable<IGrouping<Tkey, TSource>>.
ILookup has the handy indexer property, so it can be used in a dictionary-like (or lookup-like) manner, whereas GroupBy can't. GroupBy without the indexer is a pain to work with; pretty much the only way you can then reference the return object is by looping through it (or using another LINQ-extension method). In other words, any case that GroupBy works, ToLookup will work as well.
All this leaves me with the question why would I ever bother with GroupBy? Why should it exist?