One theory is that swearwords in general evoke negative emotions that the listener cannot help but instinctively process. In the specific case of words relating to the supernatural, this means specifically that such words might instinctively invoke, for example, fear associated with God or the supernatural in general. Apparently some MRI studies have shown, for example, that in the perception of swearwords, the amygdalae (generally associated with the processing of emotion) are more highly activated than when processing language generally. Swearwords also apparently exhibit the Stroop effect: if asked to name the colour of a word, it takes people longer to do so if that word is a swearword than if it is an 'everyday' word-- in simple terms, their processing of the task is "interrupted" because they cannot help but interpret the swearword.
Now, how did this association between word and emotion actually come about? It clearly isn't that, say, English speakers consciously decided "let's use 'fuck' as a swearword because that will activate the listener's amygdalae as they are forced to think about rape". As in many cases of language evolution, the process is probably more Darwinian: those words that in practice over time are observed to provoke a response from listeners are those that "stick", while words proven to be ineffective as swearwords fall out of use. So it may be, for example, that "bloody"[*] has all but fallen out of use as a strong swearword in English because in today's society in English-speaking countries, people now generally live peacefully enough not to have a fear of blood. It may also explain why God!, Lord! etc are probably not such strong swearwords (at least in England) as they used to be: it's probably fair to say that society as a whole doesn't have an actual "fear of God" that it once had.
[*] (In its origin, "bloody" as an expletive may not have been directly a reference to blood; but even if that is true, it may have passed through a period when that was how it was interpreted.)
This may explain why-- although there are common themes across languages-- which emotional themes tend to underlie swearwords does appear to differ a little from language to language or society to society with, say, speakers in some Catholic societies having more of a bias towards religious swearwords.
When you next have an hour to spare, I would recommend taking a look at Steven Pinker's Authos@Google talk where he touches on some of these issues. He also gives the example of Canadian French, which has a higher bias towards religiously-oriented swearwords compared to English.
