"D'oh!" (Homer Simpson, The Simpsons)
What's the story?: Back when The Simpsons was a short segment on The Tracy Ullman Show, the script called for Homer to give an "annoyed grunt". Voice actor Dan Castellaneta interpreted that as a drawn-out "d'ooooooooh", which creator Matt Groening thought would work better sped up. The rest is history.
When to use it: Just follow Homer on this one. If something doesn't go your way, a hearty "d'oh!" is always called for.
When not to use it: If something doesn't go someone else's way. They may be a bit sensitive about it.