Scattered throughout the islands of the Pirates of the Caribbean Play Set are chests that can only be opened by a specific character, here are the locations for all nine of those chests.
Jack Sparrow Costume
Hector Barbossa Costume
Davy Jones Costume
There is also a special Vault that requires all three Pirates of the Caribbean characters to unlock.
Pirates of the Caribbean Toy Box
After finding the set reward the remaining chests will give you a randomly chosen item from this list:
Open Sea Sky
Stone Arch Fort
Pirate Shipwreck Toy Pack