Which is correct? I've kind of always wondered about this actually, as with almost any band you'll certainly see "the" in front of the group name. Examples are everywhere including The Strokes, The Hives, The Shins, The Black Keys, and The Jimi Hendrix Experience, among others. So should "The Beatles" be added to this list? Or should they join the likes of Red Hot Chili Peppers, Talking Heads, Stone Temple Pilots, and Jackson 5? Personally, I refer to them mostly as The Beatles, though you'll probably see me refer to them as the Beatles too.
Neatorama details the intense debate going on at Wikipedia. Kinda ridiculous, but interesting.