Elasticsearch fails with error "This can result in part of the JVM being swapped out. Increase RLIMIT_MEMLOCK (ulimit)". What to do?

Well, basically, that means you have too low memlock limit setting in your OS.
This can be easily fixed in two steps:

1) Edit /etc/security/limits.conf file and add to the end:

* hard memlock unlimited
* soft memlock unlimited

2) Add a line to the /etc/pam.d/common-session file:

session required pam_limits.so

that'll make sure your limits are loaded for every session.

3) Reboot the server.

4) Check your limits via:

ulimit -l

if all went well it should return

unlimited

as an output.

P.S. As always, do all changes on your own risk and don't forget to backup
before experimenting.