Davy Jones's Locker is an idiom for the bottom of the sea: the state of death among drowned sailors and shipwrecks. It is used as a euphemism for drowning or shipwrecks in which the sailor(s)'s and/or ship(s)'s remains are consigned to the bottom of the sea (i.e. to be sent to Davy Jones' Locker). However, Jack Sparrow does not die, but gets imprisoned in the Locker, but soon makes an escape.
When confronting Hector Barbossa, Will Turner threatening to kill himself and "be lost to Davy Jones' Locker", holding a pistol up to his neck and chin. Later, Will learns the fate of his father, Bootstrap Bill Turner, in that he was "sinking to the crushing black oblivion of Davy Jones' Locker", as said by Pintel.
For most, the only way to reach the Locker is to die at sea. The Kraken, a gigantic sea monster that drags sailors and their ships to the ocean depths, inflicts this fate at Jones' command. However, the only means by which to enter the Locker and return afterwards is described by Tia Dalma; by sailing to (or more precisely, off) the World's End.
It is a purgatory where anyone sent confronts his personal demons. It is Davy Jones's favored punishment for those who attempt to cheat him. Even supernatural beings, such as Calypso, can be sent there, unable to escape while trapped in human form. The only condemned person known to have escaped the Locker is Captain Jack Sparrow. However, as Sao Feng's map does give directions to World's End and an exit route from the Locker, it is conceivable that someone else previously escaped.
For Sparrow, the Locker appears as a seemingly endless desert (the opposite of the sea), connected to an equally endless sea (filmed in the Utah Bonneville Salt Flats). Jack is doomed to captain the Black Pearl, crewed by many Jack Sparrow simulacra, upon the desert, though the ship never moves until stone-like crabs (apparently sent by Calypso) appear and carry the stranded Black Pearl to the shore. The endless sea, known as the Sea of Lost Souls, is the only escape route; its waters are filled with the souls of those who died at sea. Aimlessly drifting, they are unable to reach the afterlife, forsaken by Davy Jones, whose duty it was to ferry them to the "other side". Governor Swann is found in the Sea of Lost Souls, murdered on Beckett's order.
Returning to the living world is far more difficult than arriving in World's End. It requires being able to understand the relationship between the Locker and the living world. Confusing and cryptic clues are within Sao Feng's chart. Sparrow deciphers the clue leading to the living world: Up is Down. By capsizing the Black Pearl at sundown, the crew returns to the living world at sunrise.