Woe is me is an old-fashioned, dramatic way of saying "I am suffering." It is an expression of great sorrow, misfortune, or grief.
You may have heard or read Woe is me! in the Bible or in one of Shakespeare's plays. The emphasis is on misery and mournfulness, the meaning of woe. Today, the phrase is often used in a humorous or self-pitying way, as in "Oh, woe is me! My parents are making me clean my room before I go out!" or "I have a test today and didn’t study. Woe is me!"