Grave locks are collectibles that you can find in Redfall. There is a limited number of them and they are scattered throughout the game.
Grave Locks are tied to a particular character within the game and they have gameplay-modifying abilities.
One of the menu screens – that was showcased in the Redfall Trailers – displays that the player collected 0 out of 200 Grave Locks. So it looks like there is a lot to be discovered. I wonder what they are used for other than “Gotta catch them all”. It’s noteworthy that the counter is displayed on the skill tree menu screen and not on the loadout menu screen.