The Northern Ireland captain has certainly not gone wanting in terms of success during his career, winning three Scottish league titles and reaching the UEFA Cup final during his time at Rangers.
Davis also won the Scottish Cup twice and Scottish League Cup three times at Ibrox - success he has got nowhere near to reaching the other side of the border in the FA Cup.
The 29-year-old midfielder has never progressed past the last-16 juncture during spells at Aston Villa, Fulham and Southampton, but has the opportunity to do just that when the Saints travel to Sunderland this weekend.
"I haven't had too many memorable memories about the competition, but I am desperate to change that this year," Davis, an FA Youth Cup winner with Villa, said.
"Obviously I won a few cup competitions in Scotland and it is great to have success. There is no better feeling than lifting a trophy.
"You need quality in the team, which we have, a bit of luck on the day and go out and perform.
"That is what it ultimately comes down to and this season we've shown a good level of consistency overall, but cup competitions bring up their own different opportunities to go out and do things.
"It is a good game to look forward to and one we're hoping to get through."
Saturday's fifth-round clash will be the fourth time Saints have met Sunderland this term, with both league matches ending in score draws.
The Black Cats won the other meeting between the sides in November, with the 2-1 victory setting them on course for the Capital One Cup final.
Their Wembley encounter with Manchester City is now just a matter of weeks away, while their Premier League status looks precarious.
However, Davis does not see such other concerns as being a distraction for Gus Poyet's side and expects them to be fully focused on progressing at the Stadium of Light.
"They'll be desperate to keep the momentum going, keep picking up results," he said.
"Maybe in some way the pressure will be off and enjoy the game more than they do in the league, with so much pressure.
"They can just go out and play their football in this game, enjoy it and try to get through to the next round. We know it is going to be a tough game."
Saints look set to name a strong line-up as they bid to make it through to the quarter-finals, with only long-term absentees Dejan Lovren and Gaston Ramirez missing after the team returned unscathed from Tuesday's 1-0 win at Hull.
It was a match in which 18-year-old Luke Shaw again put in an impressive performance - one which has been followed up by England manager Roy Hodgson suggesting the left-back is in line for a late call-up for the World Cup.
Saints assistant manager Jesus Perez believes the teenager would shine for the Three Lions and those sentiments were echoed by Davis.
"For his age, it is unbelievable the talent he has got," the midfielder, with 65 international caps under his belt, said.
"Barring injuries and obviously staying level-headed like he is, he will go on and reach the top. There is no doubt about it.
"I am just delighted that he is at Southampton and hopefully he can stay here for a long time."