A DJ mix is a continuous series of songs, usually representing electronic genres like trance, house and breakbeat, strung together as though they comprised a single, high-energy musical piece. In a live setting, DJs create mixes simply by fading in and fading out different songs, but you can also record DJ mixes for fun or for profit. If you have a MIDI keyboard, you can create greater uniformity between the songs by recording instrumentation to fill in the segues (the space between songs) and adding personal touches.
If you want to make a name for yourself as a DJ, you can go a long way by remixing popular songs. A MIDI keyboard takes the confusion and difficulty out of remixing, because you can connect it directly to your PC (using a MIDI cable and a MIDI USB interface) and select electronic instrument sounds using your favorite mixing software, such as ACID, Reason or Cubase. Then just upload the song that you want to remix, and you can maintain full control over your music project.
You can always remix and record original music using traditional, analogue instrumentation, but a MIDI keyboard simply makes these processes easier. For example, MIDI input allows you to quantize your notes, a process whereby you can have your computer fix the timing of your notes to within a fraction of a second. This results in a cleaner, more polished sound. MIDI also allows you to edit and rearrange individual notes, so that if you make a mistake, you do not have to delete the entire recording and try again. These conveniences are invaluable for the DJ who wishes to create original mixes and remixes.
If you use a laptop as part of your live setup, you can connect your MIDI keyboard directly to it and accompany the recordings with original touches. In a sense, this allows you to create remixes in real time by working as both a performer and a DJ simultaneously, making your set much more interesting and interactive.