"Between the devil and the deep blue sea" is an idiom meaning a dilemma—i.e., to choose between two undesirable situations (equivalent to "between a rock and a hard place").
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Possible origins
Exodus 14: Moses and the Israelites are trapped between the Red Sea and Pharaoh's 600 chariots until God parts the Sea. Then the Israelites walk across on dry land.
The first recorded citation of "the Devil and the deep sea" in print is in Robert Monro's His expedition with the worthy Scots regiment called Mac-keyes, 1637: "I, with my partie, did lie on our poste, as betwixt the devill and the deep sea."
Various nautical origins of the phrase have also been proposed, turning on the relationship of a sailor to a "devil", which was a seam (where two hull planks meet). However, this nautical origin is unlikely because the written citation above predates this use of the term devil by more than 200 years.
Most likely a reference to scylla and charybdis from Homer's Odyssey.
Other
Bad Religion's "Heaven is Falling" makes reference to this in the last line of the song
Aerosmith's 1989 song "The Other Side" starts the chorus with "Lovin' you has go to be, Like the devil and the deep blue sea"
A 1973 song by NRBQ entitled "Hot Biscuits and Sweet Marie" references making an unwanted choice that would lead to a loss in either case.
The album Works Volume 1 by Emerson, Lake & Palmer contains the song "Pirates" where the idiom is modified in the lyrics a bit to: "Who'll drink a toast with me? To the Devil, and the deep blue sea"
The band Wishbone Ash uses the expression in the song "Living Proof" (from the album "Just Testing" - 1980).
Van Morrison's song Stranded_(Van_Morrison_song) contains the line in its chorus.