I used to go to college in Banbury and walked past the cross into the centre 5 days a week.
Apparently the cross was vandalised and torn down in the late 1600s by a religious group that didn't like it or something.
The cock-horse bit isn't rood or anything, it was just that the cross was on a steep hill so the Banbury council bods arranged for a white stallion to escort Queen Elizabeth the first up the hill but a wheel of the Queen's carriage broke and she decided to ride the escorting horse, the cock-horse, to the cross to have a look at it.
The rings on the fine lady (the Queen)'s fingers were to show that she was rich and powerful so deserved to be respected.
The bells on her toes was in fashion when the original cross was there.
The words, for those that don't know them, are:
Ride a cock-horse to Banbury Cross
To see a fine lady upon a white horse
With rings on her fingers
And bells on her toes
She shall have music
Wherever she goes.
There endeth your history lesson! lol