A minced oath from the 40's and 50's, now used a little more ironically.
An exclamation, akin to "Oh, gosh!" or "Oh my God", used to express frustration, disbelief, or unbelievable tiredness. Can also be said in reaction to someone jumping out of your closet and scaring the shit out of you.
More often used by chicks than guys, but your mileage may vary. Best when pronounced with a Wisconson accent.
Chad: Oh golly, I had a rough day at work today.
Saz: Suck it up, you wuss.