Setting up a Spring Boot application with Grafana Cloud, Prometheus, and OpenTelemetry allows developers to effectively monitor and observe application performance by collecting and correlating logs, metrics, and traces. The process involves using OpenTelemetry to instrument a simple Spring Boot application, Hello Observability, with the Grafana Agent facilitating the shipment of this telemetry data to Grafana Cloud. Prometheus is employed to gather performance metrics, which are then correlated with traces using Grafana's exemplars. The Grafana Cloud platform offers comprehensive observability solutions by integrating metrics, traces, and logs without the need for extensive infrastructure management, thereby enabling developers to concentrate on data analysis and business insights. The tutorial also highlights the configuration of Grafana Agent and the use of auto-instrumentation with the Java Agent, which simplifies the process by allowing telemetry data collection without code modifications. With Grafana Cloud's unified observability platform, developers can seamlessly correlate telemetry data, offering actionable insights and facilitating troubleshooting through features like exemplars and the ability to extract metrics from logs.