I think the best nursery rhymes are the ones that are physically interactive, such as 'Round and round the garden, like teddy bear', and 'this little piggy went to market'. Some of my favourites, however, are 'The Grand Old Duke of York' and 'Humpty Dumpty'.
I like 'Incy Wincy Spider' - the poor girl gets knocked to the ground, but she gets back up again. Valuable lesson there, and it portrays creepy crawlies in a positive light - though they can be dangerous - they also play an instrumental role in our environment. Besides, interactive and fun to sing.