I installed with apt-get, checked out the man page and added . /usr/share/autojump/autojump.sh to my .bashrc, like it says. When I cd around the filesystem, nothing gets added to ~/.local/share/autojump. I then tried adding . /usr/share/autojump/autojump.bash, but that didn't work either.
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You'll probably want to add the following to your .bashrc:
source /usr/share/autojump/autojump.bash
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