OLAP4J is a Java API that provides OLAP analysis and uses the MDX query language. It allows querying of different cube servers like MSAS via XML/A and Mondrian. The key classes include OlapConnection, OlapStatement, CellSet, and Cell. MDX is similar to SQL but for OLAP databases, and allows filtering and retrieving data across dimensions like time and artists. Using OLAP4J and MDX, business intelligence tools can help identify market opportunities from large datasets and provide a competitive advantage.