Davey is an alter- ego Finn came up with in the episode "Davey."
Finn came up with Davey after becoming tired of his fans. To become Davey, he removes his hat, cuts the majority of his hair, and paints the rest of it black. as Davey, he wasn't even recongnized by Jake at first. As Finn got more attached to Davey, he began to get a personality disorder, starting to become Davey. Near the end of "Davey," Finn regains his memory sends Davey away.