1. "Jack and Jill"
Jack and Jill is just a story about two kids who get severely injured after performing hard manual labor searching for water. Jack falls down and breaks "his crown," aka his head, while his sister also tumbles while trying to help him. After somehow limping home, the only medical care he's offered is a patching of his head with "vinegar and brown paper," which hardly seems like an effective form of treatment.
2. "Rock-a-bye Baby"
For some reason, a helpless baby is placed in a crib on a questionable branch at the top of a tree. Also, it's clear that as the wind blows, so does the crib rock. Inevitably, the bough will break, taking the crib and baby with it. What exactly are we supposed to learn from this rhyme, other than that babies are extremely fragile and shouldn't be placed in trees? Did we not already know that?
3. "Hansel and Gretel"
Hansel and Gretel has just always been terrifying. It's the story of a neglectful and essentially abusive family whose daughter and son the mother (in the original) plots to ditch out in the forest. However, the kids overhear her plot and Hansel takes a slice of bread before they're led on their trek in the woods. Birds eat the crumbs and they can't find their way home. Fortunately, they find a house made of candy and begin to eat it, till they are taken prisoner by the house's owner, a witch with a taste for children. So Hansel gets locked in a cage and Gretel gets turned into a slave, until they eventually manage to one-up the witch and shove her into the very oven they would've been cooked in.
Well, sure, I guess this story has a "happy ending," in that the kids find a bunch of treasure and escape, but the story until then is simply the stuff of nightmares.
4. "There Was An Old Woman Who Lived in a Shoe"
So we have this old woman who's somehow ended up with "oh so many" children, who literally inhabit the entirety of an inexplicable giant shoe. Not only is the environment worthy of child services' intervening, but the rhyme goes on to describe that there's not enough food for them, and even the broth they're served is sans bread. Oh, and then she "[whips] them all soundly" and put them to bed.
5. "Peter, Peter Pumpkin Eater"
Peter's this dude with a wife he clearly isn't getting along with, and also some kind of bizarre pumpkin fetish/addiction. Eventually he has enough of trying to keep his wife satisfied, so--obviously--he traps her in a "pumpkin shell" where she is subsequently "kept very well." Which presumably means she died from suffocation, so then he doesn't really have any idea how she's doing.
6. "Oh My Darling Clementine"
A boy falls head over heels for some miner's daughter, and one day while they're playing and enjoying each other's company, she trips and plummets into a stream. Also she doesn't know how to swim. As she's swept away by the current, the boy desperately wants to save her, but can't because he doesn't know how to swim either. So, she floats away and her body is then used to fertilize some flowers (which the rhyme makes sure to take note of).
Moral: If you fall in love, the object of your affection will probably die before she even gets to knows how you feel.
7. Saint Nicolas (and the "Krampus")
Santa Claus traditionally had a number of terrifying "companions" who came along with him to deliver toys. Take, for instance, Krampus, popular in Austria, who wore "black rags and masks, dragging chains behind them," using said chains to whip children who got in their way.
The Krampus appear after a child receives Christmas gifts; if he does not likewise receive a golden branch (for good deeds), then the Krampus would take the child's gifts for his own and leave in their place a silver branch. That just sucks.
8. "Little Red Riding Hood"
In the earliest versions of this classic tale, the antagonist is not always a wolf, but often an ogre or a werewolf as well. The wolf (or whatever) usually leaves the grandmother's blood-drenched meat and bones for the girl to eat, who unknowingly cannibalizes her own grandmother. Also, at one point the disguised wolf requests that the prepubescent girl remove her clothes, which he tosses into the fire. Then they get into bed together and he eats her.