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Shakespeare used it. They say (sorry, had the cite but closed the window too fast) that there used to be other body parts you could swear by too that just fell out of favor. Like "gadzooks" is supposedly a shortening of "God's hooks," i.e. his hands. Also, I thought it was interesting that "bloody" is said to be a bastardization of "by-your-lady," i.e. Virgin Mary.
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