A Traveller's Locket is a device that appears to be used for traveling between worlds. It is likely that one was originally used by Alexander of Brennenburg to arrive in Altstadt.
Although the specifics of the device's workings are unclear, it appears to have been relatively compact and used electricity, or "tamed-Lightning" as Alexander calls it, in order to function.
Having lost his original device some time ago, Alexander has focused all of his efforts on recreating one, albeit in a rather primitive form, using the Orbs in order to power it. However, all was lost when the first Orb he used shattered into six pieces. During the events of The Dark Descent, Alexander used Daniel's Orb to reactivated the Traveller's Locket and may or may not returned to the Other World at the game's climax.