It’s a silent movie staple. The heroine weeps in the pouring rain, having just discovered her first true love to be a scoundrel. She has lost everything. She turns her eyes heavenward with a tortured look and the title card appears: “Oh—woe is me!” It’s a phrase we still use, with a wink of melodramatic irony, but there’s something grammatically strange about it. Shouldn’t it be “Woe am I”? Or better yet, “I am woe”?
The phrase was first formed long before the era of the silent movie, even long before Shakespeare (Ophelia says it in Act 3 of Hamlet), in a time when English grammar worked differently. The first citation of the phrase in the Oxford English Dictionary is from 1240, and it goes all the way back to the 10th century for pronouns other than me (like in the phrase “Woe is them”). Back then English had what’s called a dative case. The dative case is used for an indirect object or where we would now have a preposition. For example, “This is difficult for me” was Uneaðe me is ðis (“difficult me is this”). “It would be better for him if he were never born” was Him wære bettere ðæt he næfre geboren wære (“him were better that he never born were”). The preposition for isn’t necessary in those examples because the dative form of me (or him) includes that sense. (This sense hangs on in phrases like “She gave me a dollar,” where the meaning is “She gave a dollar to me.”) The phrase “Woe is me” did not mean “Me and woe are one and the same thing,” but rather “Woe is to me” or “Woe is unto me.”
The dative sense is clearer in biblical phrases like “Woe unto them” or in other Germanic languages that still have a dative pronoun. German has Weh ist mir, not *Weh ist ich. Yiddish has Oy vey iz mir, not *Oy vey iz ikh.
The dative is also in play for another archaic term that seems grammatically odd to our modern ears, methinks. The thinks in methinks is not from the verb think we are all familiar with but from a different Old English verb meaning “to seem.” Methinks means “it seems to me.” Me has the dative sense “to me” in that phrase.
As Patricia O'Conner says in her book Woe is I, "'Woe is me' has been good English for generations. Only a pompous twit--or an author trying to make a point--would use 'I' instead of 'me' here." So don't think about it too much. "Woe is me" is just another one of the many phrases in English that are handed down whole to us from history with bits of old grammar locked in place. We just have to put up with it. Woe is we. Wait, scratch that. Woe is us.