It's easy to get distracted by the bad pop culture associations and forget that Davy Jones was a very talented man. (He'd earned a Tony nomination while still in his teens for playing the Artful Dodger in Oliver.)
As for the role he's best known for, some of his best moments came performing the songs of Lennon and McCartney's favorite songwriter, Harry Nilsson. The contrast between Jones' boyish innocence and Nilsson's dark and troubled lyrics gave the performances an extra resonance.
Pay particular attention to Cuddly Toy. If you listen to the lyrics you'll notice a certain creepiness. When you learn what inspired it, you'll realise you didn't know the half of it.
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