This article caused quite a stir and many responses when it appeared, but none of the responses I read spotted the gaping hole in Davies' reasoning.
No faith is necessary in Physics - just measurement. The game is this - we come up with a theory that correctly predict the results of all experiments done so far, from that we determine an experiment that we haven't done yet that would confirm or disprove this theory, and we perform the experiment. If we disprove it, then we we come up with another theory and repeat. If we confirm it we try to think of another experiment. Once we have a single, consistent theory that explains all experimental results, we're done (okay, there's still the small matter of determining all the consequences of that theory but fundamental physics is done).
If the laws of physics are found to "vary from place to place on a mega-cosmic scale" that doesn't make the game impossible to play, it's just another experimental result to be slotted into the next generation of theories. We'd discover the "meta rules" that governed how the rules of physics changed from place to place. And maybe there are meta-meta-rules that govern how the meta-rules change and so on.
This tower might never end, of course - a theory describing all experimental observations might take an infinite amount of information to describe. That's not a problem - it just means that the game never ends. Historically, new theories of physics have begotten new technologies, so as we discover more of this tower it stands to reason that our technologies would become more and more powerful.
The alternative is that the tower does end - there is a final theory of physics. This alternative seems more likely to me - historically our theories of physics have actually become simpler (for the amount of stuff they explain) over time. Together just two theories (General Relativity and the Standard Model of Quantum Mechanics) can account for the results of all experiments we have been able to do so far. These theories are simple enough that they can both be learnt over the course of a four-year undergraduate university degree.
I suspect that the theory that finally unifies these will be simpler still if you know how to look at it in the right way. In fact, I think that it will be so elegant and simple to state that it will be unquestionably correct - the reaction of a physicist from today on seeing and understanding it would be "Of course! How could it possibly be any other way!"
The only "faith" that physicists need to have is the faith that we can gain some knowledge about things by observing them (performing experiments) - which seems to me to be more of a tautology than a matter of faith.
Davies suggests an alternative, which is "to regard the laws of physics and the universe they govern as part and parcel of a unitary system, and to be incorporated together within a common explanatory scheme. In other words, the laws should have an explanation from within the universe and not involve appealing to an external agency." I'm not even sure what that means and I don't think Davies does either. I can't bring myself to believe that there is some box in a dusty attic in some corner of a distant galaxy which somehow "explains the laws of physics".
[...] - it's the only idea I've ever seen that comes close to the holy grail of theories of everything "Of course! How could it possibly be any other way!". And yet it seems unsatisfying in a way, perhaps because it's conclusion is (when you think about [...]