The origin of this expression is largely unknown, although there are a number of theories. Some people believe that it is a reference to the fact that bees carry pollen in sacks on their knees, and that the expression therefore alludes to this concentrated goodness. Others maintain that the saying is just a corruption of the word 'business'.
Another suggestion is that the 'bee' in question was actually Bee Jackson, a world champion Charleston dancer who was very popular in New York in the 1920's!