This is a very old expression that you don't hear any more, except as a parody. Woe means grief or great sadness. 'Woe is me' means 'I am grieving'. The sentence structure is no longer used, either.

never said. but can say it in jest!

This is a good phrase to practice your sarcasm - a very important aspect of English. It should be used in cases where someone thinks they are telling you some bad news, but it isn't all that bad for you. By saying, "Woe is me!" you will really mean "No big deal" or "Who cares?" Example: (In this example, you don't like your girlfriend.) Girlfriend: I'm tired of you always ignoring me and talking to other girls. You: Well, they're my friends and I can't ignore them. Girlfriend: Fine! I'm leaving! You: Oh! Woe is me! *Door slams.

No one says this anymore. It means "oh why have things gone wrong for me?"

You say it when you feel overwhelmed. It kind of sounds silly these days because it's an old phrase, so it's hardly said with a serious tone any more.