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Displaying the current audio in non-source games is quick and easy because of the new on-screen display. However, in Source games the command to do this is not currently available and instead you must view the display through the console. A quick way of doing this is by binding a key as such: (replace <key> with the key to bind it to).
This will automatically bring up the console for you and display the current audio (then hit escape to go back to the game). You can use this with almost any command in HLDJ that uses the console, such as listaudio, which could be bound as "la; showconsole" etc.
If you are using this for an HL1 game, then replace the command "showconsole" with "toggleconsole".

You can even go a step further and have the console open and close automatically: This will do the same as above, except it will automatically close the console and return you to the game after 1 second. You can add more/less "halfsec" commands to increase/decrease the amount of time the console is displayed for.

You can now bind them so HLDJ show the playing audio right in the chat:

Chat: Team Chat: