Lockboxes are small containers found around Rapture that contain various loot. When too many Splicer corpses are in one area, each corpse will eventually disappear, leaving a lockbox in its place. Even if the corpse was looted prior to disappearing, the lockbox left behind will have new loot.
In BioShock 2, looting a Splicer completely will allow it to disappear completely. This means that lockboxes can not collect, as they will also disappear. This presents a slight difficulty for more interested players, as corpses such as Mark Meltzer's can disappear before the player has time to notice. Also, enemies frozen in an ice block (from using a charged Winter Blast 2 or a normal Winter Blast 3 shot) leave lockboxes behind when they are shattered.
Lockboxes make an apparance in BioShock Infinite as well. Besides appearing after too many corpses pile up in an area, they also appear after bodies disintegrate after they've been killed by the effects from Shock Jockey or Devil's Kiss.