Where do OLAP and data warehousing get their data? From a relational database, isn't it?

Typically, yes - but concepts from relational DBs (normalization) go away when you get into OLAP. OLAP is a completely different paradigm, and one that Microsoft may be reinventing (time will tell) in the next release of SQL Server.

The whole point here is that there's just as much going on, on the server side, as there is anywhere else.