Fiona Duncan once owned a precious locket.
In 1723, Gavin had become a captain of a trading ship known as The Star, which was to set sail for the New World. Fiona desired to go with him, and tried one last time to get permission from him to join him on board his ship. However, Gavin went missing and Fiona assumed he had left without her. She stowed away on board the ship and did not reveal herself until it was too late to turn back.
The crew, with the encouragement of their teacher Mistress Aloway, raped and brutalized Fiona. Off the coast of Andover, Massachusetts, the ship sunk due to a storm. Everyone on board was killed. Fiona, who had endured tremendous suffering, became a vengeful spirit.
The ship's wreckage was eventually discovered and brought on land and placed in museums. Among the artifacts recovered was Fiona's locket. The locket was drawn to various teachers and fell into their possession, as part of Fiona's desire to murder them in retaliation for what her own teacher had done.
When Sam and Dean Winchester found out that the murders were caused by a ghost and one connected to The Star, they contacted Gavin MacLeod - who had been brought to the present from his own timeline - to investigate. Gavin found the locket listed among the artifacts retrieved from the wreckage and was horrified, since Fiona was not supposed to be on board his ship.
Sam and Dean then searched for the locket's location, tracing it to Pembroke Day School for Girls. Teachers from here had visited the museum where the locket was being exhibited. The brothers managed to save one teacher while another was killed by Fiona. Gavin then performed a seance and learned from Fiona what had happened to her, and the true consequence of him leaving his own time.
Since burning the locket may not release Fiona's spirit from this world, given her bones are still under the ocean and that she maybe connected to other artifacts, Sam and Dean summarized that Gavin needed to go back in time and protect Fiona while on board The Star with her, which would ensure she never suffered and never became an evil spirit.
Gavin agreed, and was sent back to his own time using a Blood Sigil. Following the restoration of the timeline, Fiona's victims were brought back to life as Fiona never became a vengeful spirit in the restored timeline. Her locket presumably returned to the museum where it was originally kept.