What is the widely used notation to denote the class of Lipschitz continuous functions?
i.e. suppose $f$ is continuously differentiable, then $f \in C^1$
Lipschitz functions are a special case of Holder continuous functions. The class of functions that are Holder continuous with coefficient $\alpha$ is a Banach space and is commonly denoted $C^{k,\alpha}$. Lipschitz functions are the special case with $\alpha = 1$, so you will often see them denoted $C^{k,1}$. I do not recall seeing some other specific notation for Lipschitz functions in the literature.
Update: Over more recent months I did run across the notation $\text{Lip}(X)$ for the space of Lipschitz functions on a measure space $X$.