My favorite word in Old Icelandic is aufi. Aufi is pronounced [oy:fi], somewhat similar to oh-OO-fee except the OO is more like the u in French tu. Aufi is an interjection and a statement of personal torment along the lines of "oh no!" You'll find it in the Norse dictionaries, like Zoega's, but you won't find the word in etymological dictionaries. The reason why is that its spelling is deceptive: aufi is a compound, an archaic merger of the Icelandi words au vei. Even though aufi is no longer used, I have been told that some speakers still say vei from time to time.
Taking a glance at other Germanic languages and we find correspondences. Of particular note is German au Weh and its close sibling Yiddish oy vey! And what are German Weh and Yiddish vey cognates to in English? Woe. By now you should have a picture of what happened. Proto-Germanic speakers had a phrase along the lines *au wai "Oh woe!" that changed in Norse to *au vai (the [w] becoming a [v]).
*wai obviously survives in English as woe, though is sparingly used, but *au does not. Even though I took the liberty of translating *au as "oh," the sound would probably have become *ēa [æa] in Old English, later losing [a] and undergoing compensatory lengthening to [æ:] in Middle English, and ending in either *ay [aj] or *ee [i:] in Modern English. Of course, that never happened. English speakers tend to associate 'woe' with the phrase "woe is me."
So now you know that aufi and oy vey! come from the same Proto-Germanic phrase.