Is it "D.J., "DJ" or "deejay"?
I imagine that the all-lower-case deejay is favoured by publications that try to avoid acronyms and initialisms. Where they are permitted, whether to include or omit the abbreviation marks is a matter of style.
In British English, deejay is not used. (Neither is the similar emcee.)
Note also that DJ is occasionally used informally as an abbreviation for dinner jacket!
Disc/Disk Jockey is abbreviated as "D.J."/"DJ". Nowadays, it's a growing trend to omit the dot(.) from abbreviations. Hence, you see both, D.J. and DJ.
According to a Wikipedia article,
"Deejays are not to be confused with disc jockeys from other music genres like hip-hop, where they select and play music."
All are used. It is actually a reference to "Disk Jockey", so D.J. is the most accurate, but we're talking about one of the most informal terms I know of, so I wouldn't be too concerned about "correctness".