Yorkshire have been there only once, but this will be Willey’s fourth appearance, having made it three times with previous club Northants.
In 2009, Willey was part of the side that lost by seven wickets to Sussex in the semi-final.
He was just 19 years old and had an unremarkable match; he did not bat as Northants totalled 136-6, and then he bowled two wicketless overs for 16 runs.
In 2013, Willey had the antithesis of an unremarkable match when Northants beat Surrey by 102 runs in the final.
He opened the batting and scored 60 from 27 balls with six fours and four sixes, and then he took 4-9 from 2.3 overs, finishing the match with a hat-trick when he dismissed Zafar Ansari, Jon Lewis and Chris Tremlett.
Willey was on the losing side last year when Lancashire beat Northants in the final by 13 runs.
He took 2-21 from four overs as Lancs scored 166-7, and then he hit 24 from 21 balls as Northants replied with 153-6.
As no other Yorkshire player has been to Finals Day more than once, his experience will be invaluable as Yorkshire seek to win the competition for the first time.
“I guess so,” said Willey, who left Wantage Road for Headingley during the close season.
“My primary role with regards to the move to Yorkshire was to try and help improve the club’s one-day cricket, and, hopefully, we are starting to make improvements.
“There will be expectation on me to perform (at Finals Day), but that’s the case with any one-day game.
“It’s a big day out and a great day out, particularly if you’re part of the team that lifts the trophy.”
Willey, one of four Yorkshire players who appeared in the World T20 final against the West Indies in April, along with Joe Root, Liam Plunkett and Adil Rashid, has made a habit of performing on the big stage.
He did it again when helping Yorkshire book their place at Edgbaston with a 90-run win over Glamorgan in the quarter-final in Cardiff, thumping 79 from 38 balls with seven fours and six sixes.
“I like to perform on the big occasions,” he said.
“Against Glamorgan, I didn’t really have a plan; I just tried to give myself a chance to clear the ropes, and a couple of loose deliveries gave me a platform.
“We’re all looking forward to Finals Day, and fingers-crossed we can win a couple more games and get the trophy.
“We’ve got all our England lads back, which will make it a massive headache for the coaches to pick 11 players.”
The man with the headache is first-team coach Jason Gillespie, who has an embarrassment of riches at his disposal.
But you can bet that one of the first names on his team sheet will be Willey, who has a proven record for lighting up Finals Day.
“Dave’s the type of player who can change a game,” said Gillespie, whose side take on Durham in the second semi-final, with the winner playing Northants or Notts in the final.
“We’ve seen what he’s done for Northants in the past, and he can pick up wickets early and swing the ball, score quick runs and he’s always in the game.
“That’s what I really like about him, and he’s brought a lot to our team.
“We’re delighted to have him because he’s such a positive guy, happy to challenge his team-mates – which is really healthy – and very competitive, too.”
Willey’s all-round ability gives Gillespie flexibility.
He is effectively three players in one – good with the bat, ball and in the field.
“To have someone who’s great in the field, who whacks them like he does, and who opens the bowling gives us so many extra options,” said Gillespie.
“It allows us to play an extra batsman as well.
“The start he gives us with the bat is fantastic, and it’s something we probably haven’t had in T20 for a while.
“It showed with his performance at Cardiff, when people could see why we were so keen to secure his services.”
Gillespie encourages all of his players to speak in the dressing room and Willey will address the team prior to Finals Day.
Yorkshire are keen to tap into his knowledge and know-how in an effort to gain an extra edge.
“Some of our lads haven’t been to Finals Day before, and it will be good to get Dave’s thoughts in the team meeting,” said Gillespie.
“His knowledge of it will be important, and something that we can draw on, and Dave’s the type of player who steps up when needed, and hopefully he can show everyone how good he is again.
“We’ve got a lot of match-winners in our side, and it’s going to be fantastic
“There was a lot of drive and ambition from everyone at the club to get this far in the competition after everyone had written us off – that was a really good motivating tool for us – and we’re just pleased as punch to be in with a shout.”
Ben Duckett hopes Northants can sneak under the radar again, having been part of the Steelbacks side which defied the odds to win the tournament in 2013 and fell at the final hurdle against Lancashire 12 months ago.
Northants face Notts Outlaws in the first semi-final today and are the only side involved in Finals Day who have previously won the competition.
Left-hander Duckett says confidence will be high despite their lack of high-profile players.
“We haven’t got any international stars. Finals Day will be interesting to see who is talked about – Yorkshire,” said the 21-year-old Duckett.
“We just keep going under the radar but smost of our guys love the pressure. We just go out and enjoy ourselves.”