Interesting comment by Ramil.

I guess Misha is referring to something along the lines of this.
Quote Originally Posted by Commandment #2 from Exodus
Thou shalt not take the name of the Lord thy God in vain; for the Lord will not hold him guiltless that taketh his name in vain.
I.e. one should NOT say "Oh my God", Jeeesus Christ!!! or anything like that.

I have noticed that Russians say "Боже мой" quite a bit, but it never sounded very bad to me. To me, that expression seemed more like "Oh dear" which is really innocent in English.
I think it's particularly older people that seem to use "Боже мой" in films. Am I right? What precisely does it mean?

More on this topic:
My Russian text book made a specific point of saying that the word "бог" should not be capitalized in Russian. (It's not explaining the reason, but I would guess that this is a post-1917 "spelling rule", or what do you think? Also, it didn't explain why the pronunciation is more like "бох", but I guess it might be old fashioned spelling. )

For info: This should be capitalized in English, although lately here in England there is a quite aggressive atheistic campaign going on (they even advertise on the buses and in the Underground!! ) They make a big point of not capitalizing the word, contrary to normal spelling rules. Personally I dislike this campaign.