Oh, euphemism

Elizabeth Little, author of Biting the Wax Tadpole* tells me that the phrase the adjective used to be a euphemism for bloody, which used to be a very bad word. The Online Etymology Dictionary notes that early in the 20th century, people used the Shavian adjective in place of bloody, because George Bernard Shaw shocked theatergoers' sensibilities when Eliza Doolittle in Pygmalion used the phrase not bloody likely.

We just won't tell them about Equus.

Bloody has been considered a profanity, more or less, since the late 17th century (though the degree of naughtiness waxed and waned over the centuries). 
What no one seems to know is why bloody was bad. Little mentions several of the prevailing theories - that it referred to the blood of Christ, that it meant by Our Lady, or that it refers to menstruation, although none of these seems particularly compelling.
Today, it seems to me that the term is slightly offensive in England (maybe on par with crap?) But here in the US it seems to have joined the ranks of heck and darn. 
There are actually a couple words in England that aren't considered that bad over here, either because we lack class, or because we've forgotten what the words mean. I always find it weird when old, proper people use the term bugger, because it totally refers to butt sex. The TV Buffy the Vampire Slayer exploited American ignorance to rude English words - Spike would probably not get away with his catchphrase of  oh bullocks if the censors were aware it meant oh balls. Spike even give the English equivalent of the middle finger in the show's opening credits.

Two fingers and a derp face.

*Title is a reference to Coca-Cola's attempt to find a suitable way to write Coca Cola in Mandarin. They wanted something that sounded phonetically similar to Coca Cola, so they looked for a phrase that would be pronounced something similar to ko-ka-ko-la. Unfortunately, there were about 200 phrases that could be pronounced that way, some of them really weird - like for instance, 蝌蚪啃蜡 would be pronounced similar to ko-ka-ko-la, but actually means bite the wax tadpole.