Okay, this might seem like a stupid question, but until very recently - we're talking within the last couple of weeks - I had no idea what a CDJ was. So, for all the newbies - which I have a feeling consists mostly of old-school RPers like myself - the answer to this question is simple, but vital.
A CDJ is a character development journal. This is a journal in which a player can list their current characters and games they play in, as well as any previous RPing experience they may have. Also, a CDJ is where one can post writing samples, applications they're working on, and just any ideas they have regarding their characters in general.
Why do I need a CDJ?
Strictly speaking, no one really needs a CDJ. However it's very nice to have when you're developing a character for a game or trying get into their headspace. It's also a handy place to have when you're working on applications, and can act as a central hub for all your RPing history as well as a place to link to writing samples and the like.
Also, as splott pointed out, CDJs are handy for friending icon journals and joining icon communities that require membership to see posts. And as chaperoned mentioned, CDJs help give game mods an idea of what kind of player you are and how you've played various characters before. All in all, very useful.
Well, I've made my CDJ. Now what?
Now, it's the usual. Customize your journal how you want, if you want. As pointed out above, content usually consists of rping/character-related things such as RPing history, character directories, applications, etc.
What about my CDJ user info? What goes there?
In all honestly, you can put anything you want in your CDJ user info, but it probably makes the most sense to have it be RP-related. There are a lot of options when it comes to customizing the user info. Some people like to use a custom table/layout to put their character directory there, kind of to let people know right off the bat who they play and where. An example of that can be found here. Yes, I know it's not in the actual user info, but you get the idea. I will update with a proper example as soon as I find one. If anyone would like to volunteer an example, awesome.
Another option is to use a profile layout. With a profile layout, you can write a little about yourself, what you like and dislike as a player, and what you're looking for in a game and/or storyline partner. Profile layouts also allow linking to specific posts you want people to see. Here's an example.
Where can I find layouts/profile layouts for my CDJ?
As many are aware, some layouts can't be customized on InsaneJournal without having a paid account. For those of use who can't afford to pay, a few S2 layouts that can be tweaked with custom CSS are Bloggish, Dear Diary, and A Sturdy Gesture. There may be more, but those are the few that are certain. You can find a list of places to find layouts here at rp_tutorials. A lot of layout designers also make profile layouts now as well, so be sure to check their tags. There are also some available in rp_tutorials's own layout directory.
That's really all there is to it. If anyone is confused or has any questions about things I didn't touch on, feel free to ask and I'll do my best to answer it.