I do not know about other states but in New Jersey this is a report of  civil judgments, bankruptcies, State tax liens etc.. that you order thru a company called Signature Information Solutions LLC. They run the name or names for you and return a report to you.

The counties that I cover in NJ do not have this information available at the county level, all you can generally find at the counties are IRS tax liens, UCC's, Mechanic liens, unpaid water/sewage bills, condo liens, etc...

Many of my clients run the CJ searches themselves, I only have 1 client that I have to run them for currently.