Oh my god can be considered offensive to those who are religious. Normally religious people will not say "Oh my god" because it is an offence to their god, so instead they substitute it with goodness so that they do not scorn their gods name.

I think one of the ten commandments is "thou shalt not take (or use) the lord's name in vain". That's the reasoning behind what he said below. I guess you already know this though. Sometimes I think the first phrase would be used in situations that are more emotionally charged or shocking, like witnessing a car wreck or tornado or something, or if something bad has happened.