I used XLRs and made my own terminators. You terminate at the last fixture of each run. If you are using a opto splitter, you will have more than one run. Anyway, there is a XLR "out" jack on the moving light itself, that is where you plug in your terminator. If you used an RJ jack, you would have to build some kind of XLR to RJ converter anyway, if I am followintg what you are asking. So keep it simple and just use the XLR.
As far as your other topic: I am not much on audio but I know some audio cable is a heavier gauge wire and not very backwards compatible with XLR or DMX cable. Although, at church they are talking about relocating the 48 channel sound board and going digital; therefore replacing all the wires that go between it and the stage rack with 2 Cat5 cables. It actually only needs one, the other is a redundant backup.
Cat5 is fairly cheap and it seems like a lot of things are moving towards it. I would run shielded Cat5 whenever I am running cable even if I did not need it at that time or at least have and empty conduit to pull it in later.
Make sure you do all your research before choosing and pulling wire.
Sean