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.
It's my lucky charm. Be sure to bring it back to me.
Kairi gives Sora her good luck charm
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.
As Sora trekked through Castle Oblivion, Naminé used her powers to morph Sora's lucky charm from one made 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.
Xion, a replica of Roxas with a strange resemblance to Kairi due to Sora's strong memories of Kairi, had a great fascination with thalassa shells. During many events throughout Kingdom Hearts 358/2 Days, the thalassa shell acts as a symbol of Xion's connection to Kairi. When Roxas suffered a coma, leaving one each day, 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 is also all that's left at Xion's death.
Kingdom Hearts II
During the opening FMV a fourteen-year old Kairi can be seen assembling her good luck charms on the beach of Destiny Islands, while a single Thalassa Shell is washed away.
After reading King Mickey's letter, Sora decided to embark on yet another quest to reconnect with those once connected to him. He apologizes to Kairi, who hands him the thalassa shell lucky charm, saying that she'll see him soon.
Thalassa, in Greek mythology, was the primordial goddess of the sea, and the personification of the Mediterranean. In modern Greek Thalassa means sea.