This week's giveaway is in the EJB and other Java EE Technologies forum. We're giving away four copies of EJB 3 in Action and have Debu Panda, Reza Rahman, Ryan Cuprak, and Michael Remijan on-line! See this thread for details.
Weblogic, JBoss, Websphere, Tomcat, etc. all have built in JMX MBean servers, with a ridiculous number of mbeans that monitor and manage everything about them.
For standalone JVMs, beginning with Java 5, it starts an mbean server as part of the startup process. Prior to that, your standalone application will need to create and start an mbean server.
Another note: Just because you have an mbean server doesn't mean that it is connectable externally. Most of the app servers access their components via JNDI, and hence, should be fine. For Tomcat, or the standalone JVM, you should configure a mbean server connector mbean.
As for use scenario, JMX is merely a container with mbeans that monitor and manage the system. You may write your mbeans, and register it with the server. You may connect to specific mbeans to monitor it. You may register mbeans that monitor other mbeans. etc. What you do with it is up to you.