Hi,
I finally got around to check the winning chances for fights dpending on number of hitpoints and whether a wall is involved or not. These numbers have been derived from the combat calculator 1.15 by Bomberman (I think, the program doesn't mention his name).
Be warned, however, that I didn't find the clear results that I expected and that it may not really be worth the effort to wade through all these numbers.
Following are three charts, each shows the chances of an attacker to win a fight against a defender who is fortified in a town (pop <= 6) on grasslands, plains or desert. There are 3 different charts, each for a different attack strength of the attacker or defense strength of the defender. Each chart consists of two parts, the part to the left shows the values for an unwalled city, the chart to the right shows the values for a walled city (with the wall providing 25% bonus). In each chart the columns show different hitpoint values for the attacker, and the rows show different hitpoint values for the defender. The percentages given are the chance of the attacker to win the fight.
Fast units have not been included in this research, they rushed away when they saw me coming and I was too slow to follow.
Chart 1: Attacker strength 4 vs. defender strength 3
1a) unwalled town 1b) walled town
D\A|..3.|..4.|..5.|..6.| ----- D\A|..3. |..4.|..5.|..6.|
---+----+----+----+----+ ----- ---+----+----+----+----+
. 2 | 68 | 80 | 89 | 94 | ----- 2 | 55 | 69 | 79 | 86 |
. 3 | 49 | 65 | 77 | 85 | ----- 3 | 35 | 49 | 62 | 72 |
. 4 | 34 | 49 | 63 | 74 | ----- 4 | 21 | 33 | 45 | 56 |
. 5 | 22 | 36 | 49 | 62 | ----- 5 | 12 | 20 | 31 | 41 |
. 6 | 14 | 25 | 37 | 49 | ----- 6 | 06 | 12 | 20 | 29 |
Chart 2: Attacker strength 5 vs. defender strength 3
2a) unwalled town 2b) walled town
D\A|..3.|..4.|..5.|..6.| ----- D\A|..3. |..4.|..5.|..6.|
---+----+----+----+----+ ----- ---+----+----+----+----+
. 2 | 76 | 87 | 93 | 97 | ----- 2 | 65 | 78 | 86 | 92 |
. 3 | 60 | 75 | 85 | 91 | ----- 3 | 45 | 61 | 73 | 82 |
. 4 | 45 | 61 | 74 | 84 | ----- 4 | 30 | 44 | 58 | 69 |
. 5 | 32 | 48 | 63 | 74 | ----- 5 | 19 | 31 | 44 | 56 |
. 6 | 22 | 37 | 51 | 64 | ----- 6 | 11 | 21 | 31 | 43 |
Chart 3: Attacker strength 5 vs. defender strength 4
3a) unwalled town 3b) walled town
D\A|..3.|..4.|..5.|..6.| ----- D\A|..3. |..4.|..5.|..6.|
---+----+----+----+----+ ----- ---+----+----+----+----+
. 2 | 66 | 79 | 87 | 92 | ----- 2 | 53 | 67 | 77 | 86 |
. 3 | 46 | 62 | 74 | 83 | ----- 3 | 32 | 46 | 59 | 69 |
. 4 | 31 | 46 | 59 | 71 | ----- 4 | 18 | 30 | 41 | 53 |
. 5 | 20 | 32 | 45 | 57 | ----- 5 | 10 | 18 | 27 | 38 |
. 6 | 12 | 22 | 33 | 45 | ----- 6 | 05 | 10 | 17 | 25 |
I've got mixed feelings about the results. From my playing experiences, I thought that the bonus hitpoint would have a higher impact. But as the charts show, in the range where battles usually take place (attacker having slightly better offense and about the same number of hitpoints as the defender), the bonus hitpoint raises the defender's chances to win the battle by about 15%. That's not bad, but less than I thought.
Walls raise the defender's chances by approximately another 15% (those are rough estimates as the variables are interdependent and the function is not linear). This means that (in the observed range of unit strength and hitpoints) the bonus hitpoint is about as valuable as a wall (as is a level upgrade).
The effects of a wall and a bonus hitpoint do of course stack. I also thought that they would strengthen each other, i.e. that a unit behind a wall profits even more from its bonus than a unit in the field. This is indeed the case, but the effect is negligibly small (it raises the defender's winning chances by some number in the lower single digits).
So I can't really explain why people (including me) get the feeling that the bonus hitpoint is very powerful. It might actuially be an illusion. However the charts above do not take into account that in order to defeat a city you usually have to take out many defenders, and these defenders heal if you cannot take them out in a single turn. But checking this would require me to run a simulation, which is beyond my capabilities at the moment.
I also get the feeling that there may be just too many variables involved for me to deal with them effieciently.

Nevertheless I hope the charts above may shed some light on one question or the other.
Time to get back playing.
