To Shyam's list (alas, my bad, and oops) I would add
- alas and alack - a bit more dramatic than the already-dramatic alas
- what a pity or what a shame
- oh no or uh oh
- d'oh (for fans of The Simpsons)
- shucks or aw, shucks (esp. to signify embarrassment on the part of a simple or unsophisticated person)
- woe is me (in mock despair)
To add a sense of disgust as well as disappointment, one could use
Of course, you have onomatopoeic words like argh, ugh, hrmph, or bleah and all manner of profanity. Some euphemisms have come into their own as "dictionary words" as well, like
- dagnabbit, doggone it, goshdarnit, or goldurnit (for goddammit)
- jiminy cricket, jiminy Christmas, or jeepers (for Jesus Christ)
- shoot (for shit)