Davy Jones is a pirate spirit who appears in the "Cookie's Crumby Pictures" segment, "Cookies of the Caribbean."
In the trailer for the movie, Cookie Monster stars as "Captain Snack Sparrow," hoping to find Jones' fabled cookie jar with the help of a female pirate (performed by Carmen Osbahr). He first appears when they find some initial success in entering the cave where the jar is, changing the way they get inside to keep them away. Once inside, he blocks their way with a crab, lobster, clam and parrot and sings a sea shanty for them to solve. Cookie eventually figures out the answer and Jones is defeated. The parrot then makes off with the cookie jar.