Shoot, I must have (must’ve) lost my key.
Dang, I think I’ve lost my key.
Crap, I don’t have my key.
(Neither of your options sound right. How do you know you lost it? Oh my god, no)
Darn it, I forgot my bag.
Dang it, I’ve forgotten my bag. (Both sound fine, but “l’ve forgotten” is a little more upscale. Slight difference in meaning - focusing on past or present. )