The use of south as in the phrase go south stems from the 1920s (from the Oxford English Dictionary):
colloq. (orig. Stock Market). Downward or lower in value, price, or quality; in or into a worse condition or position. Esp. in to head (also go) south.
1920 Elgin (Illinois) Dairy Rep. 13 Nov., Meat, grains and provisions generally, are like Douglas Fairbanks, headed south—in other words, going down.
The reason South is correlated with down is because of its use in the standard Western set of cardinal directions:
According to the Oxford English Dictionary, the meaning of telling someone to "go west" is not related to the phrase "going south". Instead, it means:
go west, young man: used as an encouragement to seek fortune in the American West; also in extended use.
Attributed to Horace Greeley, who, according to Josiah Bushnell Grinnell, gave the latter this advice in September 1851 (see quot. 1891)
The phrase go west on its own also refers figuratively to death (as the sun sets in the West).
There is no similar idiom "go east", unless one is actually telling someone to go in the cardinal direction of east.
The direction "north" has a figurative meaning as well:
Higher; esp. in north of (a figure, cost, etc.): higher than, in excess of.
Though north and south have related meanings (higher and lower, respectively), they are used in different ways. North is usually used in respect to a give figure or amount. For example,
2001 San Francisco Business Times (Nexis) 9 Nov. 21 What's your average deal size? It's gone north of $250,000 per contract even as high as $300,000 per contract.
However, south is usually used as a general figure of speech. For example,
2003 R. B. Parker Stone Cold (2004) xl. 154 But your marriage went south and you had a drinking problem.
That being said, the two can be used both to refer to figure amounts, although in my experience this usage is rarer:
1986 Financial Times (Nexis) 5 July i. 6 With oil heading south of $10‥the London stock market today stands less than 4 per cent below its highest ever level.
OED 1 defines it as “U.S. A yard or garden-patch about the door of a house” and offers the following citations:
c. 1764 in T. D. Woolsey in Hist. Disc. [...] The Freshmen ... are forbidden to wear their hats ... in the front door-yard of the President’s or Professor’s house. 1854 Lowell Cambr (Mass.) 30 Yrs. Ago [...] The flowers which decked his little door-yard. 1878 Emerson in N. Amer. Rev. [...] We send to England for shrubs, which grow as well in our own door-yards and cow-pastures. 1913 R. Frost Boy’s Will 9 How drifts are piled, Dooryards and roads ungraded. 1941 T. S. Eliot Dry Salvages [...] The rank ailanthus of the April dooryard.
I note that all of these except the Eliot are from Yankee sources; and although Eliot was born and raised in St. Louis, his parents were New Englanders.
However, probably the most famous use of the word is Walt Whitman’s elegy on Lincoln, When Lilacs Last in the the Door-yard Bloom’d—and Whitman lived his whole life on Long Island and in Camden, New Jersey, except for a brief period during and immediately after the Civil War.
EDIT:
A posting on rootweb.com, Some Old Houses in Readfield, Maine, describes the evolution of Maine architecture and provides detail about the origin of “door yard call”:
Over time [...] men could find time to make additions and improvements to the log cabins — sometimes the original cabin became an outbuilding, and a finer house was built. Sometimes the original cabin was enveloped, and a century later the unsuspecting eye would never have guessed that a log cabin was nestled inside a lovely Victorian structure. In the mid 19th century it became common in Maine to build a summer kitchen, shed and barn onto the house (usually a cape cod style house) creating a “big house, little house, back house, barn” effect. This architectural style caught on about the time of the mass exodus west, and at the beginning of the agricultural decline in Maine, thus our extended farm buildings are rarely seen in the rest of the USA. The disadvantage was, of course, threat of fire which would destroy the whole farm, and the smells and flies that went with an attached barn. Some of the advantages were easy accessibility to the barn, animals, food storage areas, milk room and sleigh in the winter; protection from the winter winds both outside and in, added warmth for the animals; and last but not least an indoor trek to the privy at the back of the barn or shed. If you mention a door yard in another part of the country chances are they will not know what you are referring to. With the extended farm buildings there were three yards: the front yard by the parlor where special guests were greeted, the barn yard where the men did their farm chores, and the door yard by the shed or summer kitchen where women did laundry, planted and tended their kitchen garden and did other woman's work. Sometimes we still hear the term “door yard call”, and now you know the origin — you wouldn't want to disturb someone for any length of time while they were working so you just stop for a moment on your way by for a quick hello in the yard — you made a “door yard call” .
Best Answer
I first encountered the expression "you're nicked" through the song "You're Nicked" (1982) by the UK reggae duo, Laurel & Hardy. In that song however, it is L&H who say "You're nicked," while the ersatz policeman in the recording can be heard saying things like "What have we here?" "Get in the back," "You know the way," and "We got you now." The closest the song gets to "sunshine" is a couple of instances where the policeman says, "What have we here, son?"
What the slang dictionaries say
Eric Partridge, A Dictionary of Slang and Unconventional English, second edition (1938) has this relevant material on slang use of nick in the sense of arrest:
According to Partridge, the related noun sense of nick came later:
Jonathon Green, Slang Dictionary (2008) largely corroborates Partridge on these points:
As for sunshine, Tony Thorne, The Dictionary of Contemporary Slang (1990) has this entry:
Early examples of 'nicked,' 'you're nicked,' and 'sunshine, you're nicked'
The 1806 example of "nicked" that Partridge cites is actually from 1805—from "A Dialogue Between Captain Bull and His Ship's Crew," in The Spirit of the Public Journals for 1805 (1806). Here is a fuller version of that excerpt:
The earliest relevant instance of "you're nicked" that a Google Books search turns up is from "Narrative of Law and Crime," in The Household Narrative of Current Events (June 1854), recounting a conversation between a man and a woman arrested on suspicion of picking pockets:
Instances of "you're nicked" in proximity to "sunshine" appear in Punch (1982) [combined snippets]:
and in Clive Ensley, "Taking Stock of Crime," in The Historian, issues 42 (Summer 1994) [excerpt not shown in snippet window snippets]:
Conclusion
"Nicked" in the sense of arrested goes back to the middle 1700s, according to Jonathon Green, and the OED (cited by Eric Partridge) cites an instance of such usage from 1806. "you're nicked" appears as criminal can't in a trial record from 1954.
The addition of "sunshine" to the expression seems not to go back much farther than the early 1980s, and there are numerous instances of alternative phrases such as "you're nicked, mate" (from 1977), "you're nicked, you thieving little bastard" (1978), "you're nicked, son" (from 1982), "you're nicked, sonny" (1989), and "right, my lad, you're nicked" (1994).