Here are some synonyms for "what a shame" that you can use in different situations:

• Its very unfortunate (formal)
• Thats too bad (informal)
• What a disaster!
• Sucks to be you!
• Oof
• Oh, that sucks
• Thats so sad
• Aww
• Oh, dear!
• Too bad!
• You have the worst luck
• Its a pity

These synonyms can be used to express disappointment or sympathy in response to bad news or unfortunate events.