Rare, but important, transition events between long-lived states are a key feature of many molecular systems. In many cases, the computation of rare event statistics by direct molecular dynamics (MD) simulations is infeasible, even on the most powerful computers, because of the immensely long simulation timescales needed. Recently, a technique for spatial discretization of the molecular state space designed to help overcome such problems, so-called Markov State Models (MSMs), has attracted a lot of attention. We review the theoretical background and algorithmic realization of MSMs and illustrate their use by some numerical examples. Furthermore, we introduce a novel approach to using MSMs for the efficient solution of optimal control problems that appear in applications where one desires to optimize molecular properties by means of external controls.