"To Davy Jones below"
The Flying Dutchman (c. 1896)
Public DomainThe Flying Dutchman (c. 1896) - Credit: Albert Pinkham Ryder

Davy Jones' Locker is a nautical term meaning the bottom of the sea. Any person drowned at sea was said to have gone to Davy Jones' Locker. As for Davy Jones himself, some suggest he was the keeper and ruler of evil souls. Daniel Defoe's The Four Years Voyages of Capt. George Roberts (1726) is credited with the first mention of Davy Jones:

Ruffel told them, they should not, for he would toss them all into Davy Jones Locker if they did.

In 1751, Tobias Smollet wrote in The Adventures of Peregrine Pickle:

This same Davy Jones, according to the mythology of sailors, is the fiend that presides over all the evil spirits of the deep

Davy Jones Diving.com offers some interesting research on the character's legend, referring to Brewer’s Dictionary of Phrase and Fable (1898):

Davy Jones, sea devil described by Tobias Smollett in The adventures of Peregrine Pickle
Public DomainDavy Jones, sea devil described by Tobias Smollett in The adventures of Peregrine Pickle - Credit: George Cruikshank: "Illustrations of Fieldeing, Smollett & Goldsmith, in a series of forty-one plates", London: Bradbury and Evans 1832

Davy is a bastardization of Duffy, the West Indian term for ghost. Jones comes from Jonah, the prophet who spent a few uncomfortable days lodged in the tract of a whale. And a locker, loosely defined, is a place to store valuable things. So the phrase "He's gone to Davy Jones' locker" (i.e., he cashed it in), loosely translates as, "He's safe with Duffy Jonah now."

Wikipedia explores a common theory that depicts Davy Jones and Jonah as one and the same. Jonah, hounded by God, was cast overboard, becoming the evil angel of sailors:

Sailors of previous centuries would identify more with the beset-upon ship-mates of Jonah than with the unfortunate man himself. It is therefore a possibility that "Davy Jones" grew from the root "Devil Jonah" – the devil of the seas.

Although the origins of Davy Jones remain shrouded in mystery, the myth has been mentioned in such distinguished classics as Washington Irving's Adventures of the Black Fisherman (1824), Edgar Allan Poe's King Pest (1835), Charles Dickens' Bleak House (1852-53), and Robert Louis Stevenson's Treasure Island (1883).