Some Experts Say...
Back in 16th century Europe, most people were busy either fighting off plagues or killing off Catholics. Priests especially were in high demand as there was a reward for the Protestant who was able to find and execute one.
The method of execution was often tying him by the legs and throwing him down a flight of stairs (thus the last line in the rhyme). Unless he would begin to say his prayers in English rather than Latin, he would bounce down the steps faster than your childhood Slinky. If he did give in, he was spared by--oh wait, no. They threw him down the stairs regardless.
So that's all well and good, but what the hell does the phrase "Goosey Goosey Gander" have to do with anything?
Well, it's thought that "Goosey" is referencing an old slang term "goose" which was a nice but roundabout way of saying "voluptuous lady of the night" which in turn is a euphemism for "goddamn dirty hooker." In fact, the term "goose bumps" was originally slang for the red bumps caused by venereal diseases.
nicked from
http://www.cracked.com/article_16576_the-disturbing-origins-5-common-nursery-rhymes.html