It means " I'm very disappointed with my own actions, I haven't done anything as bad (low) as this before."

It means: you have done something that is the worst thing you have ever done.

It means the person thinks the situation is rather depressing. The "new low" refers to the situation being the new lowest point, the new most depressing point. It's more disappointing than any previous situations. It's not always meant that literally though, it might be used if it is not the absolute worst day of a persons life up to that point.