~Fairy Taler's~ Take:
Many think of Humpty as an egg that fell off the wall and shattered into a million pieces. I find the idea amusing considering no where in the rhyme does it suggest that he is an egg, nor is there any descriptors (ie cracked, or hatched) that have anything to do with eggs.
In the "real world", it appears to have been a cannon that rolled down a hill.
Check out the video!