Well Goddamn can prolly be really really offensive to a religious person, but that same person would be offended at throwing GOD and JESUS around willy nilly.

It's shocking to people if you say it to people that don't know you or know you that well, or if you're not in a setting that opens a floodgate of swear words. Like at work, you're not really supposed to swear, obviously, and I generally try NOT to, but when I become relaxed around coworkers that I know don't care about swearing so much, I start swearing and they honestly get shocked--because they thought I was too polite to swear.

So I mean, just like it is for your langauge I'm sure, there's times you can swear and times you can't, it's all in the context.