Davis remembers the two of them hitting it off immediately.
• Dress for October at the MLB.com Shop
"He's a pretty easy guy to get along with," Davis said. "Anyone who has been around him considers him a friend. He's just that kind of a guy."
Price says the same of Davis.
"That's why you play the game, to build the relationships that you're able to build over the course of your career," Price said. "This game is not always going to be there. I'm not always going to be a baseball player.
• 2015 postseason schedule
"It's going to be the relationships that you make with your teammates like Wade, your different teammates throughout the course of your career. That's what's always going to be there and that's what makes it so special."
Davis and Price certainly bonded one summer night in 2009. The Rays' Triple-A Durham team was playing Triple-A Scranton and, after the game, the two settled into their hotel room on the second floor of the Radisson Lackawanna Station Hotel in Scranton, Pa.
Davis and Price had both heard that the hotel was rumored to have been haunted.
"There were stories from other players," Davis said. "There were stories of a woman ghost on one floor. Just all kinds of stuff."
And it didn't take long for the hotel's reputation to grab their attention.
"We started hearing knocking on the door," Davis said, "but no one was ever there.
"We tried to get to sleep but it got really hot in the room. We turned the air conditioner to cool and it would go back to hot. Turn it down as cold as it could get, and it would turn up. Then we started hearing some weird noises, stuff out of the walls -- can't describe them. Kind of like screams."
Well, by 7:30 the next morning, both Price and Davis were down in the lobby with suitcases packed. They checked out and checked into a Ramada down the street.
"That's how serious it was -- we're never up at 7:30 after a game," Davis said. "But we sure were that morning. All the stuff that went on -- not cool."
Price claims he remembers nothing from that night.
"Oh, he remembers," Davis said, smiling. "We just talked about it again last summer."
The story behind the hotel is that it was built originally in 1908 as a train station that once served as a morgue for World War I soldiers. Families of the fallen soildiers would come to the station and claim the bodies, a process that often took months.
About 13 years after the war ended, the building was renovated and turned into a hotel. And soon after, creepy stories began to emerge.
Actually, Davis has had to endure another allegedly haunted hotel -- the Royals stay at the famously haunted Pfister Hotel in Milwaukee when they play the Brewers.
"That Scranton hotel is nothing like the Pfister," Davis said. "That Scranton hotel was real[ly haunted]."
Perhaps Davis can refresh Price's memory if the Royals and Blue Jays meet in the American League Championship Series.
"That would be fun," Davis said.
Davis' Royals will play the Astros in their American League Division Series on Thursday, which will be broadcast on FS1 at 7:30 p.m. ET.
Price's Blue Jays begin their ALDS against the Rangers on Thursday, which will be broadcast on FS1 and Sportsnet at 3:30 p.m. ET.