Here are a few that I have looked into recently. Please note that the debate about the origins of these age old rhymes is still raging and will probably do so for many years to come.
It is commonly accepted that the nimble Jack mentioned is Black Jack, an English Pirate who grew in notoriety for his ability for giving the authorities the slip during the late 16th century.
The candle bit refers to the curious game of leaping over candle flames. Originally, the players had to leap over an open fire. Thankfully this was banned as it was deemed too dangerous a sport and the fire was sensibly replaced with a candle flame. There is a possibility that the game was also used for fortune telling and those that cleared the flame without extinguishing it would experience good luck.
Although this traditional rhyme seems to paint a placid picture for our minds, it's origins are quite different and is believed by many to refer to Mary Tudor or Bloody Mary within who's reign the country's graveyards filled with the bodies of those who dared adhere to their Protestant faith.
The "silver bells" mentioned are a reference to thumb screws. The "cockle shells" were another instrument of torture that were said to me attached to the genitals. In another interpretation, the "cockle shells" reference is a snide remark about the infidelity of her disinterested husband.
The "maids", refer to the original predecessor of the guillotine called the maiden. This vicious crude device could take up to 11 attempts before it actually severed a head.
The names Jack and Jill were often used as general references for a man and a woman. Shakespeare used Jack and Jill in A Midsummer Night's Dream and in Love's Labour's Lost.
In the case of the nursery rhyme, the Jack and Jill are believed to be King Louis XVI and his Queen Marie Antoinette and of course we know what became of them!
As time past and people grew more sensitive to what they told their children, the rhyme was added to make it more acceptable.
If you do have a theory on any of the about, please do share!
Links | Wikipedia | Secret History of Nursery Rhymes by Linda Alchin | Albert Black |