They make software for non-technical users to explore relationships in unstructured data, and they do a lot of in-house consulting with their clients in terms of migrating data and building custom software add-ons. It's really not anywhere near as sinister as people make it out to be.
Contrary to the WSJ article, I don't think Palantir does any data mining. Instead, Palantir's core competence is taking a customer's existing data and appropriately modeling it in their software.