Holy cow (expression)

"Holy cow!" (and similar) is an of surprise used mostly in the United States, Canada, Australia and England. It is a minced oath or euphemism for "Holy Christ!" Holy Cow! dates to at least 1905. The earliest known appearance of the phrase was in a tongue-in-cheek letter to the editor: "A lover of the cow writes to this column to protest against a certain variety of Hindu oath having to do with the vain use of the name of the milk producer. These profane exclamations, "holy cow!" and, "By the stomach of the eternal cow!"" The phrase was used by baseball players at least as early as 1913 and probably much earlier. The phrase appears to have been adopted as a means to avoid penalties for using obscene or indecent language and may have been based on a general awareness of the holiness of cows in some religious traditions.

From the Dictionary of American Slang (1960):

Expressions such as "Holy buckets!", "Holy underwear!", etc. also employ a play-on-words, "holy" implying "riddled with holes".

Paul Beale (1985), however, in revising Eric Partridge's A Dictionary of Catch Phrases: British and American, from the Sixteenth Century to the Present Day cites a different origin:

"Holy cow!" became associated with several baseball broadcasters. Harry Caray, who was the broadcaster for the St. Louis Cardinals (1945-1969), Oakland Athletics (1970), Chicago White Sox (1971-1981), and Chicago Cubs (1982-1997), began using it early in his career, in order to prevent himself from lapsing into vulgarity.New York Yankees shortstop and announcer Phil Rizzuto was also well known for the phrase; when the Yankees honored him following his retirement, the ceremony included a real cow with a halo prop on its head. 1950s Milwaukee Braves broadcaster Earl Gillespie was also known for this expression.

...
Wikipedia