Another American adding my voice to the consensus -- no problem singing/saying "bloody" on the airwaves in this country. [What was that song that was on the radio several years ago -- "right, right, bloody well right, you've got a bloody right to say?"] We don't really know what it means anyway; and most just consider it to be another weird English slang term (like knickers, bollocks, etc.) that we Americans are too smart to use ourselves. For good old-fashioned swearing, "fuck" is hard to beat -- it's multi-purpose, only one syllable, sounds right either as a casual aside or an emphatic pronouncement, and can be combined with other terms for even greater impact.

As for "bloody," I heard somewhere that this originated back in Henry VIII's time, when all things Catholic were suddenly out of favor in Britain. My understanding is that it's short for "by our lady," which was a common expression before then, but was too overtly papist for the newly Protestant kingdom. Is there any truth to this?