Examples
“As he had suspected, the cranky wind-voice he’d heard had been one of the Beaconfolk (a low-ranking one, in charge of less-important sigils), asking him what the bloody hell he wanted.”
Conqueror's Moon
Lists
These user-created lists contain the word ‘bloody hell’.
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Of blood
bad blood, bloodthirsty, bloodletting, bloodlust, blue blood, bloody hell, red-blooded, bleeding heart, own flesh and blood, cold-blooded, hot-blooded, chec...
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dirtie dirtie
words most foul
fuck, cunt, shit, hell, bloody, bloody hell, fuckhead, fucking, ass, asshole, fuck off, what fuck and 33 more...

bilby Cricketer Max Walker was introduced to the Queen after an Australia-England match where she had been guest of honour.
Queen: So how was your game, sir?
Walker: Bloody hot out there today, Your Highness. Apr 27, 2008
arcadia Isn't the "bloody" a reference to the blood Christ shed during his crucifixion? I understood "bloody" to be derived from phrases like "bleeding Christ".
Swearing by the blood of a dying person, especially the Divine, is understandably quite offensive to a Christian, or even any opponent of capital punishment.
Apr 27, 2008
chained_bear "Bloody" used to be extremely offensive (not really in the United States--we seem to think it quaintly foreign), but that was generations ago. (When it was replaced in movies with people saying "ruddy" instead.)
Seriously, I think some older people of British, Australian, or Canadian extraction still find it to be so.
The "hell" part--yeah, there are lots of polite circles (in the U.S. also) that would frown on the use of "hell" when not referring to the reputedly fiery place with a landlord of decidedly odd shape and reddish color.
Edit: Basically agreeing with plethora... who was far more succinct... Apr 27, 2008
kewpid I don't find it offensive, and I don't think anyone I know does either. Though that might say something about the company I keep. Apr 26, 2008
plethora I don't find it offensive, and I don't honestly think most people would these days, but I think it's frowned upon in formal/polite settings out of habit. Apr 26, 2008
Prolagus What I don't get is how rude this expression is. Is it offensive? Apr 26, 2008
plethora Yeah, she does. But I like to pretend I hear "ya" instead, otherwise I cringe so hard my glasses fall off. Apr 26, 2008
bilby Wait, wait, it's the first time I've seen this ad. She says 'So where the bloody are you?', not '... are ya'. It's very clear.
That's it, passport in the shredder tomorrow. Apr 26, 2008
plethora As seen in the Australian tourism ad So where the bloody hell are ya?
Incidentally, the pub shown in the first shot of that ad is just out of my town. But the Mad Max car isn't there, for some reason :( Apr 26, 2008
yarb "Football - bloody hell!"
- Alex Ferguson. Oct 21, 2007