DJ stands for David Jacob, only mentioned in two episodes.

Lanford is indeed a fictional city. All the exterior shots are from locations in Evansville, Indiana.

Technically, nowhere. Considering that Lanford is a fictitious city, it really doesn't exist. If you take the information given on the show, it could exist in a number of areas. For example, the real cities of DeKalb and Elgin are often implied to only be an hour or two drive away. It is often implied that it is near Aurora, IL (Home of Wayne and Garth of Wayne's World), which is a real suburb of Chicago (Due west of the city). This would make sense as David and Darlene once made it to Chicago and back in the time they were supposed to be in school. These might give you the idea that Lanford is somewhere around North-Central Illinois. However, it was stated on a few occasions that they were in Fulton County, IL, which is really more West-Central IL, and is adjacent to Peoria County. That being the case, it is more accurate to consider that the location and other speculation the result of inconsistencies from the writers.

If what doesn't kill us is makin' us stronger, we're gonna last longer than that greatest wall in China, or that rabbit with a drum. If there's one thing that I've learned while waiting for my turn, it's that in each life some rain falls but you also get some sun. And we'll make out better than okay, hear what I say. Yeah, any day. (The lyrical version of the theme song was used in Season 9)

Johnny Galecki was first introduced as "Kevin Healy", but immediately became "David" from his second appearance on. The reason for this was that Johnny was appearing on another show at the time with the character name of "David", which is what Roseanne Barr wanted to call him. Broadcasting rules at the time prevented an actor from appearing on two different, non-related shows using the same name (unless it was their real/stage name). By the time Johnny made his second appearance on the show, his other job had ended, and they were free to call his character "David Healy", as originally intended.

Roseanne later makes an in-joke in reference to this situation, when she is arguing with Dan and says, "David's not even his real name! Darlene made it up!"

In the two-part series finale, the family gathers the celebrate the homecoming of Darlene and David's baby. At the end of the episode, Roseanne reveals that the series was essentially her writing a novel. The family never won the lottery, Dan did not survive his heart attack, Jackie was a lesbian, not Bev, and Darlene ended up with Mark and Becky ended up with David. The episode ends with Roseanne leaving her writing room and entering the living room, which is now back to the way it was in the first eight seasons.