VJ stands for Video Jockey (like DJ stands for Disc Jockey), Vj's mix a variety of video sources together to create a unique video image throughout the night at large club events.  It gives the audience something to look at while dancing, much more interesting than looking at the DJ with his head down.

wedding DJ newcastle
 
such events in the UK would be Gatecrasher, Polysexual, Atomic Jam, Slammin Vinyl, Hardcore Heaven etc, usually with an audience of 5000+ at the biggest events.
 

A typical mix of images would be some pre mixed DVDs of video images from previous events, then add some abstract images (like the visualizations you get in Winamp, AVS is the best), then i would overlay the picture from a video camera of the DJ, or some dancers, and then i would overlay the image from your software which could display the name of the event, the dj's name, or any message i want. The major factor for me is being able to type the message and have it instantly displayed without rendering.