The Resolution of the Identity approximation for the Coulomb (RI-J) energy in Density Functional Theory improves the computational efficiency of large-scale calculations but requires the use of a second, or “auxiliary” basis set. We examine the performance of some of the existing auxiliary basis sets with a variety of basis sets and molecules. We determine the accuracy of the RI-J approximation for these basis sets and suggest criteria for the selection of combinations of basis set and auxiliary basis set.