A plastic container that holds a CD or DVD disc for added protection.  The bare disc is placed in the caddy, and the caddy is inserted into the drive.  A caddy is not a jewel case.  A jewel case protects the disc for transportation.  A caddy protects the disc while reading and writing.  See 
HDD cradle.
Caddy Load
Earlier drives always used a caddy.  Today, some drives still require one for added protection.
DVD-RAMs use a Caddy
For writing, DVD-RAM drives require the disk to be placed into a caddy.  The drives support both caddy and caddyless media, and for reading, the bare disks can be used.  (Image courtesy of Panasonic Industrial Company.)