In particular those of surprise or anger. For example
Oh my god,
Wow, that's an intriguing question, and I'll wager no one really knows the answer. But here's my two cents...
Surprise (especially shock) and anger are extreme emotions, so it's probably natural for people to reach for extremes in expressing their feelings.
But why not say "Universe damnit," or "Holy volcano"?
I suspect it has something to do with the fact that volcanoes and galaxies are very remote, while one's god is a more personal thing.
It's interesting that the Bible prohibits people from taking God's name "in vain," so this custom is obviously very old. It would be interesting to know if people who follow other religions make similarly "blasphemous" statements.
Anyway, what I wrote above is a personal theory, rather than a qualified answer. I suspect one would have to dive into psychology, theology and linguistics to find an answer.
My guess is that these arise from literal curses -- supplications to God to smite the offending party. Eg, "May the Almighty smite you down!" This wasn't a simple "Gdammit!" expletive but, as I said, a literal request that God intervene, spoken with full religious fervor.
Over time such curses became less literal curses and more simple expletives -- the speaker was no longer literally praying to God to smite his enemies. This had the odd effect of turning a "legitimate" curse into a case of taking the Lord's name in vain, and hence there was a tendency to "mince" the oaths, causing them to less resemble literal curses (but, oddly, not always entirely eliminating all mention of The Almighty).
As to why so many are needed, well, there are a lot of things to curse about, and using the same curse over and over gets to be rather tedious (as one often finds out when working with someone whose every third word is "fucking").
I think it might depend on the type of curses or the culture where these are used. Take, for example, the curse words (sacres; from French "to consecrate") in Québec, which do not have this meaning in other Francophone cultures:
The word "sacrer" in its current meaning is believed to come from the expression Ne dites pas ça, c'est sacré. ("Don't say that, it is sacred/holy"). Eventually, sacrer started to refer to the words francophone Québécois were not supposed to say. This is more than probably related to the commandment: "Thou shalt not take the name of the Lord thy God in vain" (Exodus 20:7). The influence and social importance of the Catholic religion at that time allowed sacres to become powerful forms of profanity. As a result of the Quiet Revolution in the 1960s, the influence of the Roman Catholic Church in Quebec has declined. This has had no effect, however, on the use of sacres, which are as widespread as ever.
This is a cultural artifact, in my opinion.
Look at Japanese curse words - I can't think of a single one that has to do with religion or the divine. Instead, they have to do with dying ("Why don't you just die?") and bodily functions ("Eat shit!"). I'd be happy to be proven wrong with a "god smite you" in Japanese, but even with one or two the base rate of occurrence is markedly low.
This means to me that this is a cultural influence of Christianity. This is really interesting, and if anyone has any references on this topic I'd love to read them.