Davey Sanchez was Harry Morgan's partner prior to the events of Season 1. He eventually died at the hands of an unnamed individual, causing Harry Morgan to feel his world had "spun out of control". After reading out a eulogy for Sanchez, he told his son, Dexter Morgan, that not everything was about vengeance...or balancing the books...but also something deep inside.
Later on Harry picks up Dexter from a location in the middle of a rainstorm and it's obvious he's not feeling well about something. The two talk and he confirms that the judge let Davey's killer go based on the bust not being "rightous" and let him walk. Dexter questions the decision...asking why a bad guy can cap a cop and get off without so much as a slap on the wrist, also asking if the world has to keep spinning out of control. Harry tells him that it doesn't...that things can be set right...and the two of them basically perceived the fact that Davey's killer walked free as another reason why their plot to kill those who had taken innocent lives and escaped justice was the right thing to do.