They took the lead in first half injury time before rocking Bournemouth with three more goals in a devastating eight-minute spell after the break.
Rochdale had the edge taken off their fourth win in five away matches when midfielder Nathan Stanton was sent off after a flare up with Bournemouth substitute Marvin Bartley eight minutes from time.
Rochdale weathered sustained pressure before O'Grady sliced open the Bournemouth defence for Chris Dagnall to give the visitors the lead on the stroke of half-time.
Dagnall then returned the compliment, laying on the second for the impressive O'Grady 18 minutes after the restart before Rochdale sank the leaders with two more goals in quick succession.
Simon Whaley ran unchallenged at the Cherries defence to score the third after 69 minutes, before O'Grady completed the romp two minutes later with a well taken fourth, again laid on by Dagnall.