So the origin that I have heard and seems to be the most probable, dates back to the Globe Theatre in that if you were doing really good you would break your leg. First you must understand a few conventions of the Globe.
Firstly were the groundlings. These are the poorer people that went to see the plays. The cheapest seats for the Globe were in the yard, the standing space right in front of the stage. The groundlings were packed in very tightly and even pressing up against the stage. If an actor was having a very good performance then the groundlings would be so enthralled that some would stand there with their mouths hanging open drooling right on to the stage, making it slippery.
Secondly, it is due to the special effects most of Shakespeare's plays have a large amount of people dying, most notably are Macbeth (Don't say it!), and Julius Caesar. These plays called for blood, so before the play or death scene an animal was slaughtered, and their bladder was harvested. Your average bladder in addition to containing urine, holds a large amount of blood. The bladder was placed under the clothes and when the character is stabbed all this blood and urine is leaked out, causing more wonderment and drool to come from the groundlings. By now the stage is extremely slick, and many actors, you guessed it, slipped and broke their leg. So if you managed to break your leg, it was seen that you were so good, you could get the audience to drool.
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