Better the Devil You Know

What the heck does "Better the Devil You Know," mean?
I've heard it in a song by a British group and wonder
if it's British Phrase and I don't get it because I'm
American.

I've heard it in America. Better the devil you know than the devil you don't. Some people reason it's better to stay in a bad situation rather than risk making a change and winding up in a spot that's even worse. Examples, a person might stay with a bad job or bad marriage because he is afraid to change and wind up in a situation that is just as bad and unfamiliar on top of that.