I find it offensive because I don't believe you should take the Lord's name in vain. (uh-oh....religious post! But, it's the answer to your question.) I have no problem with oh my goodness or oh my gosh, I just don't like hearing the word 'God' (capital or lowercase, since you can't tell the difference in speech.) used that way.
BTW- I don't say anything to the person who uses it (unless it's one of my students- Christian school, so it goes with my above statement), I just choose not to use it myself.
Yep, sums up my feelings perfectly.