Tabular data constitute a dominant form of information in modern data lakes and repositories, yet discovering the relevant tables to answer user questions remains challenging. Existing data discovery systems assume that each question can be answered by a single table and often rely on resource-intensive offline preprocessing, such as model training or large-scale content indexing. In practice, however, many questions require information spread across multiple tables -- either independently or through joins -- and users often seek specific cell values rather than entire tables. In this paper, we present Octopus, a lightweight, entity-aware, and training-free system for multi-table data discovery and cell-level value retrieval. Instead of embedding entire questions, Octopus identifies fine-grained entities (column mentions and value mentions) from natural-language queries using an LLM parser. It then matches these entities to table headers through a compact embedding index and scans table contents directly for value occurrences, eliminating the need for heavy content indexing or costly offline stages. The resulting fine-grained alignment not only improves table retrieval accuracy but also facilitates efficient downstream NL2SQL execution by reducing token usage and redundant LLM calls. To evaluate Octopus, we introduce a new benchmark covering both table- and cell-level discovery under multi-table settings, including five datasets for independent discovery and two for join-based discovery. Experimental results show that Octopus consistently outperforms existing systems while achieving substantially lower computational and token costs. Code is available at https://github.com/wenzhilics/octopus.