A CDJ (Compact Disc Jockey) generally refers to a standalone device that plays music directly from USB drives or other storage media. These players are commonly found in clubs and festivals and operate without requiring a laptop.
They matter because they are the closest thing DJing has to a common language. Walk into most clubs or festivals anywhere in the world and you can play without bringing anything but a USB drive, which is why knowing your way around one is worth the effort even if you normally use your own controller. In the Brazilian Zouk scene they turn up less often than at club events, since most of us travel with our own gear.
Working with them takes a little preparation. Music has to be written to the drive through export mode for your playlists and cue points to come across, the accepted file formats are a narrower list than your laptop handles, and layouts differ between models and generations. Two or more players are usually linked so they share one drive and can be mixed through a separate mixer, which is a different mental model from an all-in-one controller.