SPOILER WARNING for those who don't want to know specifically about Benicio Del Toro's character and his role in Star Wars: The Last Jedi.
There were plenty of mysteries going into Star Wars: The Last Jedi, and while it may not have been on the level of Rey's parents, there was plenty of secrecy surrounding an all-new character played by Benicio Del Toro. Del Toro plays a character who is only known to us as DJ, a figure of some flexible morality who provides aid to Finn (John Boyega) and Rose (Kelly Marie Tran) on a crucial mission. Turns out that "DJ" is not his actual name, but a moniker that symbolizes his philosophy of "Don't Join."
Benicio Del Toro's character is never called "DJ" throughout the running time of Star Wars: The Last Jedi. Actually, no one calls him by any name whatsoever. At some point in the sequel, Finn and Rose go on a secret mission to the casino city of Canto Bight in search of a master codebreaker. They ultimately stumble upon DJ, who isn't the man they were looking for, but is still familiar with First Order code. DJ's a thief and hacker for hire with no allegiances to the Resistance, the First Order, or anyone. It's all the same to him and no one is outright The Good Guy or The Bad Guy. Thus his personal mantra is "Don't Join," which also stands for his non-canon nickname DJ.
The Star Wars: The Last Jedi Visual Dictionary is filled with behind-the-scenes trivia and factoids about the sequels characters, vehicles, and location. DJ has his own two-page entry in the book (via CBR), which sheds some more light on his backstory and motivations. To DJ, "larger causes are for fools," and he views society as just one big machine looking to turn everyone into another cog. These causes are no different in his eyes since they all ultimately "chew up their followers with the same disinterest." He even has the words "Don't Join" written on his hat.
I think that DJ will end up being a divisive character (mostly because of an odd performance choice from Del Toro), but he does serve his purpose posing the question to one of the key themes of The Last Jedi: Is war worth fighting when both sides aren't perfect? Finn ultimately provides the answer to that question, but we'll see if DJ has a rebuttal for the next movie.
You can see the man not technically named DJ for yourself in Star Wars: The Last Jedi, which is currently in theaters right now. To learn everything you can about the sequel, make sure to visit our comprehensive guide on Star Wars: The Last Jedi.