Okay. I went to Holland recently. Sometime during my visit I said “Oh, for crying out loud!” That raised an eyebrow or two from my Dutch friends. Naturally thay asked what the hell I was going on about and could I please translate it…but could I answer?! (I don’t speak Dutch either so I was stumped with the translating thing too)
Anyone know where the phrase came from and what it actually means? Is it just a complicated way of saying sigh and letting everyone know you’re fed up or something?
It’s a euphemism in lieu of saying “For Christ’s sake.”
Appears in print in English in the early 1920’s. And definitely was meant to be used when one is exasperated.
Jonathan Green’s Cassell’s Dictionary of Slang confirms samclem’s info almost verbatim.
As to a translation, good luck. Exclamations like “for Christ’s sake!” are hard enough to tranlate meaningfully from one language to another. Trying to translate a euphemism for an exclamation … not something I would try. 
Jeepers Creepers, I would have thought the answer to that one was obvious.
Note the OP was in UK. I think this is a rather US started thing.
I could be wrong.
And, I promise I didn’t steal from Cassell…
I stole from Lighter at RHDAS. 
How did it come about? It certainly doesn’t sound much like “For Christ’s sake.” I can understand euphemisms like “Oh, cripes” for “Oh, Christ”, because “cripes” sounds like “Christ”, but we don’t have that sort of similarity here.
MrNeutron I can appreciate your question. Slang expressions are quite often not “slamdunk” types of things. Words get morphed, sometimes in obvious ways, sometimes not.
I can remember my Aunt, in about 1960, on a portch in conservative Danville, VA. saying to all on the porch
I don’t know how it was spelled. I only know that her mom, my grandmother, told her in no uncertain terms, that you don’t say that in polite society. She was saying a variation of “I swear.” While the connection may be easier to decipher in my example, not all phrases are imitated in an easy-to-interpret manner.
The “Crying out loud” example and “Swannee” are both cases where a person starts to say one thing then catches themself and says another with the same beginning. The ending doesn’t matter, and you actually want to avoid saying something that sounds a lot like the thing you don’t want to say.
Fudge!
Fiddlesticks! (not sure if these first two are really consistent with my theory, as someone who would even think of saying the F word would probably not switch to something so cute)
Sugar!
For goodness’ sake!
Darn!
Gee whiz!
My wife says this all the time. Of course, she also uses “Turkey-dog!” and “Snout!” as expletives, too. Don’t ask me why.
Myself, I favor a good, old-fashioned, “Rats!”
RR
My father-in-law was always on the verge of saying “God damn it,” but always caught himself and said “GOD…Bless America.”
Same principle.
I regularly golf with a young lady who, when she botches a putt goes; “Fuu…uh…unky.” She’s a real prude and it floors me every time, especially since I have no filtering capacity whatsoever and the four letter expletives are more rule than exception, at which she always blushes and rolls her eyes.
Sparc
Another euphemistic replacement of profanity, just for completeness: “What in the Sam Hill” comes from “damn hell.”
I’ve only recently heard “Godfrey Daniel!”, which I’m assuming is a euphimism for “God damn!”. I like this one – gonna start using it.
Watch some WC Fields movies. He certainly popularized this.