See also: Alternatives to "Oh Shit!" when visiting the Great Aunts and Mild Exclamations.
Mild expletives are inoffensive exclamations of shock and dismay. The mildest are things we suppose our ancestors might have used for colour or emphasis when something pretty strong seemed called for but yelling "holy mother of fuck!" would have gotten one lashed to a bed and exorcised.
Most of these words were originally assonant or alliterative soundalikes for sacrilegious expressions. Many developed at times when the unmodified original could have gotten one into genuinely serious trouble: Until the 20th century, imprisonment for blasphemy was a realistic possibility in most of Europe and North America1.
In their day, they borrowed their power from the terrible or dangerous words they stood in for. As most English-speaking societies have achieved a reasonable degree of relaxation about religion, they have declined into quaintness. Time is partly to blame, but this is not necessarily a one-way process: Racial epithets were once a part of everyday conversation but are now the most taboo words we have. Rather, the relative potencies of profanities shift as the people who use them relax about some things and become more uptight about others. There is now a new order: Race, then sex, then scat, and only then Christian religion (with derogatory terms for other historically marginal groups sneaking up on the outside). Religion, sexual intercourse, and going to the bathroom, perhaps, terrify and obsess us less than they once did, bigotry and ethnic conflict more. Most people would agree that this reshuffling of priorities is eminently sensible.
The words that have largely supplanted these -- the new generation of mild English expletives -- are, naturally, modified forms of and synonyms for the eternal Big Two (fuck and shit): Crap, frig, frick, and so on. To these words belong the future. This node is not concerned with them; it is a tribute to and a slightly premature autopsy of those of the once-mighty class of sacrilegious euphemisms that are still widely recognized.
These are the words, with their probable original meanings and the dates of their first quoted use in the Oxford English Dictionary.
Zounds: God's wounds (i.e., the injuries suffered by Christ on the cross). 1600.
Gad, Egad: God. 1673.
Gadzooks: God's hooks (i.e., the nails use to fix Christ to the cross). 1694.
Gosh (gosh-darned, gosh-awful, etc.): God. 1757.
Golly: God. 1775.
Darn: Damn. 1781.
Tarnation: Damnation. 1790.
Dang: Damn. 1793.
Jiminy (or Jiminy Cricket): From Gemini, itself ("perhaps") from Jesu Domine. 1803 (1664 for Gemini).
Drat2: "God rot". 1815
Crikey: Christ. 1838.
Sam Hill: Hell. 1839.
Doggone: Probably from "God damn". 1851.
Heck: Hell. 1865.
Gee: Jesus (or possibly Jerusalem). 1895.
Gorblimey: God blind me. 1896.
Jeez: Jesus. 1923.
Jeepers (or jeepers-creepers): Jesus Christ. 1929.
1 It is still technically possible: Many jurisdictions, particularly in the United States, still have blasphemy laws on the books. And in some parts of the world, of course, blasphemy remains a serious legal offence and a very, very dangerous hobby.
2 Thanks to Simulacron3 for pointing out that I'd forgotten this one.
Source: The Oxford English Dictionary, Second Edition (1989).