In practice you will not find two different financial assets that are statistically completely uncorrelated, but you can use a site like Portfoliocharts to see how a portfolio mix has performed in the past and what its risk characteristics are like.
My admittedly fairly layman understanding of MPT is that its purpose is to show how you can trade expected return for lower risk in as efficient a manner as possible using varying asset allocations.
I found this series of videos on Risk Adjusted Return a good primer on what are desirable portfolio characteristics you might want to aim for:
https://www.youtube.com/watch?v=50oyD_e8Vh0When Jack Schwager was interviewed about his last book in the "Market Wizards" series I remember he said words to the effect of having hindsight, he would have pushed the managers with the best risk adjusted returns as being the most outstanding, rather than just those with the best pure performance.