Thalassa Shell

A Thalassa Shell is a unique sea shell found only on the Destiny Islands. According to legend, sailors used them to make lucky charms that would ensure they had a safe voyage.

Kingdom Hearts
In the beginning of Kingdom Hearts, Kairi begins to collect Thalassa Shells and make them into a good luck charm as sailors did in a legend she reveals to Sora to ensure that she, Sora, and Riku have a safe voyage as they travel on their raft to other worlds. After Kairi's rescue from Hollow Bastion and the return of her heart, Kairi gave Sora her completed Thalassa Shell Lucky Charm to bring him luck, but made him promise to return it to her.

Kingdom Hearts: Chain of Memories
As Sora trekked through Castle Oblivion, Naminé used her powers to morph Sora's lucky charm from one comprised of Thalassa Shells into one resembling a Paopu Fruit, coincidentally another item unique to the Destiny Islands. The lucky charm eventually retained its original form once Sora remembered that Kairi is the most important person to him.

Kingdom Hearts 358/2 Days
Xion, a replica of Roxas with Kairi's form due to Sora's strong memories of the girl, had a great fascination with Thalassa Shells. When Roxas suffered a coma, she surrounded him as he slept in his bed with Thalassa Shells amongst many others. After Xion escaped the Organization, Roxas was also seen to pick up a shell on the beaches of the Destiny Islands as he thought of his friend during one of her nightmares. A single Thalassa Shell also lingered after Xion's death.

Kingdom Hearts II
After his seemingly final quest, Sora was reunited with his friends Riku and Kairi. After the defeat of Xemnas, he was able to return the Thalassa Shell lucky charm as promised to Kairi. A single Thalassa Shell was also seen during the opening FMV as a younger Kairi sat on the beach assembling her good luck charm.

Blank Points
After reading King Mickey's letter, Sora decided to embark on yet another quest to reconnect with those once connected to him. Apologizing to Kairi, she again gave him her lucky charm, telling him to "hurry back."

Etymology
Thalassa, in Greek mythology, was the primordial goddess of the sea, and the personification of the Mediterranean.

Trivia

 * Xion's fascination with Thalassa Shells is yet another connection she shares with Kairi besides her overall appearance.
 * It is possible that Xion got the shells from Destiny Islands, perhaps going there after a mission, which then Roxas did the same.