Gary Lee Davis was born on August 13, 1944, in Wichita, Kansas. He claimed to have suffered sexual abuse from his older stepbrothers during his childhood. After dropping out of school in the ninth grade, Davis joined the United States Marine Corps in 1961. He married Tonya Ann Tatem, and they had two sons before divorcing. Davis held various jobs and married Leona Coates in 1974; he was 30, and she was 17. They had four children together.​

Davis had a history of predatory sexual behavior, admitting to raping approximately 15 women. However, his criminal record included convictions for grand larceny and burglary in Kansas in 1970 and 1971, and menacing in Colorado in 1979. In 1982, he was jailed for sexual assault in Colorado. While incarcerated, he began corresponding with Rebecca Fincham, whom he married in 1984 while still in prison. After his release in 1985, Davis and Fincham moved to Byers, Colorado.

On July 21, 1986, Davis and his wife, Rebecca Fincham, kidnapped their neighbor, 34-year-old Virginia May, in front of her children. They drove her to a deserted field, where Davis raped her and then shot her 14 times with a rifle. At trial, Davis confessed to the murder, despite his attorneys' advice. He was sentenced to death exactly one year later, on July 21, 1987. Fincham was sentenced to life in prison in a separate trial.

Davis was executed by lethal injection at the Colorado State Penitentiary on October 13, 1997. His execution was the first in Colorado in approximately three decades and received significant media coverage. Davis was the only person executed by the state of Colorado between 1968 and 2020, when the state abolished the death penalty.